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| Tekijä: | Dunis, C. L. Levy, N. |
| Otsikko: | Do exotic currencies improve the risk-adjusted performance of dynamic currency overlays? |
| Lehti: | Journal of Asset Management
2002 : MAR, VOL. 2:4, p. 336-352 |
| Asiasana: | CURRENCY CURRENCY MARKETS RISK |
| Kieli: | eng |
| Tiivistelmä: | This paper investigates the benefits of additional international diversification into emerging stock markets, from the point of view of a US investor. The increase in risk-adjusted returns with exotic currencies (compared with a benchmark portfolio of only major currencies investments) is achieved through the use of a currency overlay programme. The impact of the exotic currency overlay programme is assessed, using daily closing prices for several international stock markets and currencies. Portfolio returns and volatility are analysed through the use of a dynamic hedge based on a simple technical trading rule strategy. The performance is compared with a static hedge and an unhedged position over the period January 1994 to June 2000. |
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