Hi guys,
I have a question regarding currency hedging. I want to show that for a EUR based investor with an international portfolio the volatility of the portfolio increases once you use hedging techniques. For the unhedged returns i use the MSCI World ($) and i calculated the daily currency returns. To calculate the hedged returns, is it simply subtracting / adding the currency return from the msci world return? I want to check it for the usd , jpy, gbp and chf.
Regards
I have a question regarding currency hedging. I want to show that for a EUR based investor with an international portfolio the volatility of the portfolio increases once you use hedging techniques. For the unhedged returns i use the MSCI World ($) and i calculated the daily currency returns. To calculate the hedged returns, is it simply subtracting / adding the currency return from the msci world return? I want to check it for the usd , jpy, gbp and chf.
Regards
