“How foreign is my domestic portfolio?” seems an unusual question for investors to ask. But investors in single-country stocks may be taking more currency risk than they think, suggests an upcoming paper by Dori Levanoni, an investment partner at First Quadrant.
The findings pose a problem to fund managers wanting to isolate a pure exposure to single-country equities. Whether to hedge foreign exchange becomes a harder decision if – as the results suggest – the correlation between forex and equi
The week on Risk.net, March 10-16 2018Receive this by email