Currency Hedging for International Portfolios
IMF Working Papers, June 1, 2010
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- Currency Hedging for International Portfolios
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Bibliographic details
- Authors: Jochen M. Schmittmann
- Published: June 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455201341.001
Overview and scope
- Author: Jochen M. Schmittmann
- Publication date: June 1, 2010
- Series: Working Paper No. 2010/151
- Volume: 2010; Issue: 151; Pages: 44
- DOI: https://doi.org/10.5089/9781455201341.001
- Stock No: WPIEA2010151
- ISBN: 9781455201341
- ISSN: 1018-5941
- Subject: Currencies, Exchange rates, Hedging, Stock markets, Stocks
- Keywords: exchange rate, global bond, hedge ratio, WP
Research question and sample
- Examines benefits from hedging currency exposure of international investments in single- and multi-country equity and bond portfolios.
- Perspectives analyzed: German, Japanese, British and American investors.
- Sample period: 1975 to 2009.
Key findings on risk
- Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon.
- Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.
Key findings on returns
- In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.
Implications (analysis-level)
- Hedging can be an effective tool to reduce volatility for international equity and bond holdings across multiple investor home countries.
- The effectiveness of hedging for risk reduction persists beyond short horizons, remaining relevant for horizons up to five years.
- Hedging decisions can also materially influence portfolio returns, not only volatility.
Metadata for ingestion and indexing
- Landing page title: Currency Hedging for International Portfolios
- Publication type: IMF Working Papers (web landing page)
- Access formats noted: Download PDF; More Formats on IMF eLibrary; Order a Print Copy
- CITATION preview provided on page: Jochen M. Schmittmann "Currency Hedging for International Portfolios", IMF Working Papers 2010, 151 (2010), accessed 8/11/2026, https://doi.org/10.5089/9781455201341.001
Source: "Currency Hedging for International Portfolios", Jochen M. Schmittmann, June 1, 2010, Working Paper No. 2010/151, DOI: https://doi.org/10.5089/9781455201341.001