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Study Results from Aarhus University Update Understanding of General Finance (International Diversification Benefits with Foreign Exchange Investment...

September 13, 2014



Study Results from Aarhus University Update Understanding of General Finance (International Diversification Benefits with Foreign Exchange Investment Styles)

By a News Reporter-Staff News Editor at Investment Weekly News -- Current study results on General Finance have been published. According to news reporting originating from Aarhus, Denmark, by VerticalNews correspondents, research stated, "Style-based management of the foreign exchange (FX) component of international investments with carry trade, FX momentum, and FX value strategies provides economically large and significant diversification benefits."

Our news editors obtained a quote from the research from Aarhus University, "These speculative benefits go beyond the hedging benefits of FX risk documented in the earlier literature. Our results hold after transaction costs and are confirmed in an extensive out-of-sample experiment mimicking investor decisions in real time."

According to the news editors, the research concluded: "Adding a composite FX style portfolio to diversified allocations of global bonds and stocks leads to a 64% increase in the out-of-sample Sharpe ratio from 0.64 to 1.05, without adverse impact on other portfolio characteristics such as skewness."

For more information on this research see: International Diversification Benefits with Foreign Exchange Investment Styles. Review of Finance, 2014;18(5):1847-1883. Review of Finance can be contacted at: Oxford Univ Press, Great Clarendon St, Oxford OX2 6DP, England. (Oxford University Press - www.oup.com/; Review of Finance - rof.oxfordjournals.org)

The news editors report that additional information may be obtained by contacting T.A. Kroencke, Aarhus University, CREATES, DK-8000 Aarhus C, Denmark. Additional authors for this research include F. Schindler and A. Schrimpf.

Keywords for this news article include: Aarhus, Denmark, Europe, General Finance

Our reports deliver fact-based news of research and discoveries from around the world. Copyright 2014, NewsRx LLC


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Source: Investment Weekly News


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