Exoploring the benefits of international diversification and currency hedging for international fund portfolios
Abstract
Outlines previous research on international investment portfolios and presents a study of diversification and hedging on money market, bond and equity funds from UK, US and Japanese investors’ points of view. Explains the methodology, uses 1995‐1998 data to calculate returns and discusses the results. Suggests that foreign bonds and equities reduce exchange rate risk more effectively than money market instruments, although some of that risk is not diversifiable. Compares the benefits of diversification and hedging for investors in the three countries at different levels of risk and concludes that optimum asset allocation depends on the fund market characteristics, risk preferences and investor perspective.
Keywords
Citation
Papadamou, S. and Tsopoglou, S. (2002), "Exoploring the benefits of international diversification and currency hedging for international fund portfolios", Managerial Finance, Vol. 28 No. 1, pp. 35-58. https://doi.org/10.1108/03074350210767636
Publisher
:MCB UP Ltd
Copyright © 2002, MCB UP Limited