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- W2895859326 abstract "Campbell, Serfaty-De Medeiros, and Viceira (2010) propose an optimized method to hedge currency risk in portfolios of international equities. In a demanding out-of-sample test, incorporating transaction and rebalancing costs, and margin requirements we find their method reduces risk in real time, but also underperforms economically a naive alternative or even a purely domestic portfolio. We propose modeling the currency hedging strategy as a function of characteristics proxying for expected returns and risk. We find that using currency momentum, value, carry, and autocorrelation significantly reduces the cost of hedging. Proxies for risk, such as volatility, skewness, beta on volatility, and equity sensitivity are irrelevant in our optimizations. Our optimal strategy is close to a fully hedged portfolio, but with a sizable 38% gain in Sharpe ratio." @default.
- W2895859326 created "2018-10-26" @default.
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- W2895859326 date "2017-01-01" @default.
- W2895859326 modified "2023-10-03" @default.
- W2895859326 title "Hedging with an Edge: Parametric Currency Overlay" @default.
- W2895859326 doi "https://doi.org/10.2139/ssrn.3020981" @default.
- W2895859326 hasPublicationYear "2017" @default.
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