战略性货币对冲国际多元化投资组合理应如何管理持有不同风险sean c16 minicase strategic.pptx

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战略性货币对冲国际多元化投资组合理应如何管理持有不同风险sean c16 minicase strategic.pptx

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StrategicCurrencyHedgingHowshouldthemanagerofaninternationallydiversifiedportfoliomanagethecurrencyrisksassociatedwithholdingstocksfromdifferentcountries?

Copyright?2009PearsonPrenticeHall.Allrightsreserved.16-2SeanO’ConnorInhissecondanalyticalrotationinthemanagementtrainingprogramatZenexSecurities.HehadbeenassignedtotheinternationalequitiesdivisionandhadbeengiventhetaskofreviewingboththetheoryandevidencerelatedtoactivecurrencymanagementofinternationallydiversifiedportfoliosArgumentssupportingactivecurrencymanagementFirst,unlikeequitymarketsliketheNewYorkStockExchange,manyoftheparticipantswhotradedailyintheglobalcurrencymarketsarenottradingforaprofitCorporatehedgersaretradingforhedgingpurposes;centralbankstradeinpursuitofavarietyofmacroeconomicgoalsUnlikemanyotherfinancialmarketsthatmeetmodernfinancialefficiencycriteria,thereisnorealconsensusofthepropervaluationmodel(s)forcurrenciesThismeansthatthereisamuchhigherpossibilitythatcurrencyvaluescoulddeviateforlongperiodsoftimefromtheircorrectvalueAnumberofrecentstudieshadindicatedthatactivecurrencymanagersdoindeedaddvaluetotheirportfolioperformanceOnerecentstudyfollowing19activecurrencymanagersoveraseven-yearperiodindicatedactivecurrencymanagershavehadonaveragepositiveperformanceinfourofthesevenyearsStrategicCurrencyHedging

Copyright?2009PearsonPrenticeHall.Allrightsreserved.16-4Exhibit2AnnualHistoricalExcessReturns,AnnualRisk,andSharpeRatiosforSelectedEquitiesandCurrencies,January1978toFebruary2003

Copyright?2009PearsonPrenticeHall.Allrightsreserved.16-5AccordingtoExhibit1,werethereasignificantnumberofportfoliomanagersableto