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Working Papers N°859: A note on currency-hedging

Autor: Rodrigo Alfaro , Natan Goldberger


Description

In this note we analyze if currency hedging reduces the volatility of a portfolio. Based on historical data (2000m1-2018m12), we found that optimal levels of hedging will depend on the degree of risk of the underlying asset, being full-hedging for the case of high-quality sovereign bonds and very small hedging for equity indexes. Finding are consistent across both US and EU assets and different Latam currencies.

Working Papers N°859: A note on currency-hedging
 
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