PT  - JOURNAL ARTICLE
AU  - Olfa Hamza
AU  - Jean-François L'Her
AU  - Mathieu Roberge
TI  - Active Currency Hedging Strategies for Global Equity Portfolios
AID  - 10.3905/joi.2007.698985
DP  - 2007 Nov 30
TA  - The Journal of Investing
PG  - 146--166
VI  - 16
IP  - 4
4099  - https://pm-research.com/content/16/4/146.short
4100  - https://pm-research.com/content/16/4/146.full
AB  - His article examines, for 21 developed countries, whether active currency hedging strategies can outperform currency benchmarks: 100% unhedged, 50%/50%, and 100% hedged. We consider four active currency strategies: 1) the “selective” strategy that consists in hedging when the forward rate is at a premium, 2) the “large premia” strategy that consists in hedging only when the premium is large, 3) the momentum strategy, and 4) the mean-reverting strategy. Results for the 1992–2004 period show that, overall, the selective strategy outperforms the other strategies at 12- and 1-month horizons. Results for sub-periods show that no strategy continuously dominates.TOPICS: Global, developed, currency