Maintaining Consistent Global Asset Views (with a Little Help from Euclid)

Brian D. Singer, Kevin Terhaar and John Zerolis

Financial Analysts Journal, 1998, vol. 54, issue 1, 63-71

Abstract: Global economic and capital market integration has led to a host of new concerns for plan sponsors and money managers. In such an environment, ensuring consistent capital market expectations, policies, and strategies among different base currencies is important. A primary difficulty is translating risk and correlation estimates from the home currency into any other currency. We provide a method for converting risk and correlation views. The method makes use of a geometric interpretation of risks and correlations, dramatically simplifying the requisite calculations.

Date: 1998
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DOI: 10.2469/faj.v54.n1.2146

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