RT Journal Article
SR Electronic
T1 Practical Applications of Currency-Hedging Optimization for Multi-Asset Portfolios
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.6.3.295
VO 6
IS 3
A1 Helen Guo
A1 Laura Ryan
YR 2019
UL https://pm-research.com/content/6/3/1.1.abstract
AB How should multi-asset investors hedge their foreign currency risks? In Currency-Hedging Optimization for Multi-Asset Portfolios, published in the 2017 Multi-Asset Special Issue of The Journal of Portfolio Management, authors Helen Guo and Laura Ryan (both of PIMCO) demonstrate the advantages of currency-specific hedging versus uniform hedge ratios or asset-specific hedging. This constitutes a notable advance in the published literature on this subject, which has not generally considered the different risk/return characteristics of various currencies and has focused mostly on the United States. In this article, the authors compare currency-specific hedge ratios, uniform hedge ratios, and asset-specific hedge ratios for multi-asset (equity and bond) portfolios in three base currencies: the Australian dollar, the US dollar, and the Japanese yen.TOPICS: Portfolio construction, VAR and use of alternative risk measures of trading risk