Currency hedging strategies for New Zealand equity investors_篮球比分,篮球即时比分

MIT Admin
Mon, 07 Apr 2025 21:26:52 +0000

Jonathan Ruffell

Dr. Alastair Marsden, The University of Auckland

Abstract: This paper examines currency hedging strategies using one-month rolling forward exchange contracts from the perspective of New Zealand (NZ) investors who hold offshore equities in the United States, United Kingdom, Euro and Australian markets. We tested four foreign exchange hedging strategies, comprising never hedging, always hedging, and two selective hedging strategies where hedging varies through time. Utilizing historic market index and exchange rate data between 1986 and 2018, investment returns and the Sharpe ratio were substantially lower in all offshore markets under the unhedged foreign exchange strategy, whereas volatilities were higher or broadly comparable. Overall, our results support the view that NZ investors should fully or selectively hedge foreign exchange risk from owning offshore equity portfolios during periods where the risk premium is expected to be positive.