The Role of Currency Derivatives in Internationally Diversified Portfolios
研究了货币对冲对七国股票和债券指数组合的影响，发现股票对冲的降风险效果在1980年代后减弱，而债券对冲持续降低波动但伴随更低回报，对冲决策取决于投资者风险偏好。
Diversification is widely practiced by investors seeking to reduce risk. In recent years investors have been turning to foreign markets to obtain even greater scope for diversification than domestic markets offer. With the internationalization of security portfolios, however, also comes an additional risk-foreign exchange risk. ; The use of currency derivatives in internationally diversified portfolios can help mitigate foreign exchange risk. This article investigates the impact of currency hedging on these portfolios, in particular index portfolios of stocks and bonds from markets in seven industrialized countries. The author finds that the apparent risk-reducing benefits of currency hedging of equity portfolios in the early 1980s did not continue into subsequent periods. In contrast, foreign long-term bond portfolios consistently exhibited dramatically lower variability of hedged returns compared with unhedged returns. The case for (or against) currency hedging is not decisive, though, because the lower variability of hedged returns historically is associated with lower returns. The decision to hedge depends on the investor's preference for risk and return.