Hedging Currencies with Hindsight and Regret

@inproceedings{Statman2005HedgingCW,
  title={Hedging Currencies with Hindsight and Regret},
  author={Meir Statman},
  year={2005}
}
Realized returns and risk of hedged and unhedged portfolios during 1988–2003 were virtually identical. Portfolio managers who care about the risk and expected returns of policy portfolios could have chosen to hedge or not to hedge by the toss of a coin. Mean monthly returns (and standard deviations of returns) of unhedged global portfolios were higher than those of hedged ones in half of the 16 years (9 of the 16) and lower in the other half (7). Portfolio managers who are pressed to earn… CONTINUE READING