Global currency hedging
By: John Y. Campbell , Karine Serfaty-de Medeiros, Luis M. Viceira
Contributors: Medeiros, Karine Serfaty-de; Viceira, Luis M.; Harvard Business School
Series: Working paper / Harvard Business School -- 09-089; Working paper (Harvard Business School) -- 09-089
Publisher: Harvard Business School
Published: 2009
Place of publication: Boston]
Language: eng
Number of pages: 116
Description: Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the US dollar. There is little evidence that risk-minimizing investors should adjust their currency positions in response to movements in interest differentials.
Notes: "January 2009"--Publisher's website.

Includes bibliographical references.