RT Journal Article
SR Electronic
T1 Practical Active Currency Management for Global Equity Portfolios
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 41
OP 48
DO 10.3905/jpm.2000.319763
VO 26
IS 4
A1 Tod F. Reinert
YR 2000
UL https://pm-research.com/content/26/4/41.abstract
AB For global equity portfolios, a number of active currency management strategies have consistently dominated both unhedged and passively hedged strategies. The author shows that for portfolios broadly diversified across major equity markets (including the U.S., the U.K., France, Germany, and Japan), a single technically based active currency management strategy yielded the highest risk–adjusted return in all rolling ten–year periods and in twenty–one of twenty–four rolling five–year periods during 1972–1999. Although equity managers may not be in the business of foreign exchange management, they should not be blind to significant currency trends that could be detrimental to portfolio performance. The author suggests some practical techniques to address these trends.