ORCID Profile
0000-0002-6983-3620
Current Organisation
Católica-Lisbon School of Business & Economics, Universidade Católica Portuguesa
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Publisher: Elsevier BV
Date: 2012
DOI: 10.2139/SSRN.2144204
Publisher: Elsevier BV
Date: 2017
DOI: 10.2139/SSRN.2933449
Publisher: Elsevier BV
Date: 06-2021
Publisher: Elsevier BV
Date: 2018
DOI: 10.2139/SSRN.3088828
Publisher: Elsevier BV
Date: 2018
DOI: 10.2139/SSRN.3109456
Publisher: Elsevier BV
Date: 02-2021
Publisher: Informa UK Limited
Date: 26-04-2018
Publisher: Institute for Operations Research and the Management Sciences (INFORMS)
Date: 2022
Abstract: We propose an optimal currency hedging strategy for global equity investors using currency value, carry, and momentum to proxy for expected currency returns. A benchmark risk constraint ensures the overlay closely mimics a fully hedged portfolio. We compare this with naïve and alternative hedges in a demanding out-of-s le test, with transaction and rebalancing costs and margin requirements. Other hedging methods generally reduce risk but at a cost. Some tend to short currencies with high returns and all incur substantial costs with frictions, mostly margin requirements and equity rebalancing costs. The proposed strategy uses predictable returns to reduce this cost. It produces a statistically significant 17% gain in Sharpe ratio and an annualized Jensen-α of 0.93% versus a fully hedged benchmark. Notably, most of the implementation costs of the strategy would be incurred by the benchmark anyway. This reduces its marginal cost and highlights a specific synergy of integrating hedging with speculation. This paper was accepted by Gustavo Manso, finance.
Publisher: Wiley
Date: 30-10-2017
DOI: 10.1002/HYP.11348
Publisher: Elsevier BV
Date: 2017
DOI: 10.2139/SSRN.3045019
Publisher: Informa UK Limited
Date: 19-05-0011
Publisher: Elsevier BV
Date: 2017
DOI: 10.2139/SSRN.3020981
Publisher: Elsevier BV
Date: 2012
DOI: 10.2139/SSRN.2041460
Publisher: Cambridge University Press (CUP)
Date: 10-2015
DOI: 10.1017/S0022109015000460
Abstract: We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum, and value reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio produces out-of-s le returns that are not explained by risk and are valuable to ersified investors holding stocks and bonds. Exposure to currencies increases the Sharpe ratio of ersified portfolios by 0.5 on average, while reducing crash risk. We argue that besides risk, currency returns reflect the scarcity of speculative capital.
Publisher: Elsevier BV
Date: 2017
DOI: 10.2139/SSRN.2771664
Publisher: Elsevier BV
Date: 04-2015
Publisher: CSIRO
Date: 2013
Location: Portugal
Location: No location found
Start Date: 2008
End Date: 2012
Funder: Fundação para a Ciência e a Tecnologia
View Funded Activity