Benchmarking and currency risk
We show that the currency risk embedded in the benchmarks of international mutual funds negatively affects fund performance. More specifically, a high benchmark-implied currency risk induces funds to invest in markets with less volatile currencies, leading to a higher degree of currency concentratio...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2016
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/7049 https://ink.library.smu.edu.sg/context/lkcsb_research/article/8048/viewcontent/benchmarking_and_currency_risk.pdf |
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| Institution: | Singapore Management University |
| Language: | English |