Bridge over ocean
1 September 1993 Financial Analysts Journal Volume 49, Issue 5

The Merits of Active Currency Risk Management: Evidence from International Bond Portfolios

  1. Richard M. Levich
  2. Lee R. Thomas
A new statistical procedure tests for weak-form efficiency in the foreign exchange futures markets. On the basis of daily currency futures prices for the 1976 - 90 period, this procedure indicates that successive exchange rate changes have not been independent.This finding has implications for at least two groups of investors--(1) return-seeking investors considering foreign exchange as a separate asset class and (2) international portfolio investors deciding whether or not to hedge the foreign exchange rate exposures embedded in their nondollar investments. For both types of investor, active currency risk management based on a simple application of technical trading signals can improve substantially upon the risk-return profiles of passive currency strategies.
Read the Complete Article in Financial Analysts Journal Financial Analysts Journal CFA Institute Member Content

We’re using cookies, but you can turn them off in Privacy Settings.  Otherwise, you are agreeing to our use of cookies.  Accepting cookies does not mean that we are collecting personal data. Learn more in our Privacy Policy.