## Currency Hedging for International Portfolios

_IMF Working Papers, June 1, 2010_

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**Canonical URL:** [Currency Hedging for International Portfolios](https://www.imf.org/en/publications/wp/issues/2016/12/31/currency-hedging-for-international-portfolios-23994)

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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

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### 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*

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/currency-hedging-for-international-portfolios-23994_