RT Journal Article
SR Electronic
T1 Active Currency Hedging Strategies for Global Equity Portfolios
JF The Journal of Investing
FD Institutional Investor Journals
SP 146
OP 166
DO 10.3905/joi.2007.698985
VO 16
IS 4
A1 Olfa Hamza
A1 Jean-François L'Her
A1 Mathieu Roberge
YR 2007
UL https://pm-research.com/content/16/4/146.abstract
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