Benchmarking and Currency Risk
研究发现国际共同基金基准中的货币风险会损害基金业绩，高货币风险促使基金投资于汇率波动较小的市场，导致货币集中度上升，偏离最优股票配置，年化业绩差距达1%至2%。
Abstract We show that the currency risk embedded in the benchmarks of international mutual funds negatively affects fund performance. More specifically, a high benchmark-implied currency risk induces funds to invest in markets with less volatile currencies, leading to a higher degree of currency concentration in portfolio holdings. This currency concentration, however, departs from the optimal equity allocation strategy across countries and reduces fund performance. We document that funds resorting to high currency concentrations underperform funds with low currency concentrations by as much as 1%–2% per year.