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Currency overlay for global equity portfolios : cross-hedging and base currency

Opie,W. and Dark,J. 2015, Currency overlay for global equity portfolios : cross-hedging and base currency, Journal of futures markets, vol. 35, no. 2, pp. 186-200, doi: 10.1002/fut.21662.

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Title Currency overlay for global equity portfolios : cross-hedging and base currency
Author(s) Opie,W.
Dark,J.
Journal name Journal of futures markets
Volume number 35
Issue number 2
Start page 186
End page 200
Total pages 15
Publisher Wiley
Place of publication London, Eng.
Publication date 2015-02
ISSN 0270-7314
1096-9934
Summary The effectiveness of a currency overlay hedge for a global equity portfolio can be significantly affected by changes in the base currency. Base currency changes have no significant effect on the hedged portfolio risk; however, they may substantially increase or decrease risk relative to the unhedged position. Australian (AUD) and Canadian (CAD) forwards provide effective cross-hedging, particularly in combination with one or two other currency hedges. Hedge effectiveness is significantly improved by allowing for natural hedges via a dynamic approach that captures structural change and permits under-hedging of currency exposures. © 2014 Wiley Periodicals, Inc.
Language eng
DOI 10.1002/fut.21662
Field of Research 150201 Finance
Socio Economic Objective 910104 Exchange Rates
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
HERDC collection year 2014
Persistent URL http://hdl.handle.net/10536/DRO/DU:30068862

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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