Hedging Research


01/10/2013 The Hidden Risk Factor

To achieve maximum returns consistent with an investor's appetite for risk, the correct identification and estimation of all relevant risk factors in a portfolio  are necessary. This paper identifies the role of foreign currency as an important risk factor from an international investor's point of view.

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01/11/2011 International Portfolios - Protecting Currency Gains

International Investment Portfolios - Protecting Currency Gains

This paper illustrates the Dollar weakness in a historical and "fair value" context and the extent to which it has enhanced foreign asset returns.  It then outlines how a reversal would affect these returns, and how hedging can mitigate this.

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01/01/2011 The Rationale for Currency Hedging

The Rationale for Currency Hedging

This note sets out some of the reasons why a UK institutional investor might wish to hedge the currency exposure inherent in the international components of its investment portfolio.

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01/07/2009 Cash Flow Management in Currency Hedging Mandates

Cash Flow Management in Currency Gedging Mandates

This note considers various approaches to managing cash flows, and in particular negative cash flows or cash outflows, for institutional investors undertaking currency hedging of international assets through forward contracts.

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01/06/2009 Disentangling Returns from Hedged International Equities

Disentangling Returns from Hedged International Equities

The purpose of this note is to describe the various sources of return that accrue to a USD-based investor in international equities, including any hedging returns.  We also comment on the importance of being able to distinguish between these returns in reporting systems.

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