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- W3125085141 abstract "We develop a novel method to dynamically hedge foreign exchange exposure in international equity and bond portfolios. The method exploits the time-series predictability of currency returns, which we show emerges from exploiting a forecastable component in global factor returns. The hedging strategy outperforms leading alternative approaches to currency hedging across a large set of out-of-sample performance metrics. Moreover, we find that exploiting currency return predictability via an independent currency portfolio delivers a high risk-adjusted return and provides superior diversification gains to global equity and bond investors relative to currency carry, value, and momentum investment strategies." @default.
- W3125085141 created "2021-02-01" @default.
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- W3125085141 date "2018-01-01" @default.
- W3125085141 modified "2023-09-27" @default.
- W3125085141 title "Global Currency Hedging with Common Risk Factors" @default.
- W3125085141 doi "https://doi.org/10.2139/ssrn.3264531" @default.
- W3125085141 hasPublicationYear "2018" @default.
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