Evaluating the Performance of Foreign Exchange Hedges

Jack D. Glen

Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research

Abstract: An evaluation of the performance of foreign exchange hedges shows that, in a mean-variance framework, fully hedging exchange risk does not improve the performance of a portfolio of international equities; however, dynamic strategies which incorporate market information on risk premiums in the forward market are shown to statistically improve performance.

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Persistent link: https://EconPapers.repec.org/RePEc:fth:pennfi:18-90

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