Research

Many Swiss institutional investors routinely rebalance their foreign currency hedges at the London fix on the last working day of the month. Whether this is done for convenience, tracking error or liquidity reasons, we show that significant sums of money can be saved by anticipating these readjustments, especially when they are expected to be large….

Read More →

For Swiss investors, the current and unprecedented low level of domestic interest rates has dramatically raised the costs of hedging foreign currency risk. Because these vary between currency pairs, one may be tempted to capitalize on such differences and design a hedging strategy that optimizes costs for a set level of risk. In our case…

Read More →

The notion that a currency hedging strategy be determined with respect to a portfolio’s underlying asset allocation is a popular one amongst institutional investors. Taking a total portfolio perspective the following analysis sets out to challenge this rather narrow approach. In doing so our broader analysis sheds light on the importance of the foreign currency…

Read More →

Many investment funds holding assets denominated in foreign currencies also offer their clients the option to invest in a share class that eliminates the resulting currency risk – a hedged share class. In this article, we investigate the effectiveness of these share classes in hedging currency risk and adding value to an investment portfolio, particularly…

Read More →