Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises
Caporin, Jimmnez-Martin and Serrano (2013) study hedging strategies in currencies using classical time-series methods. The abstract mentions a Sharpe ratio and an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“Nevertheless, those results are coupled with better performances of dynamic covariance models in terms of hedging effectiveness an improved Sharpe ratios.”
AssetCurrenciesfutures, bonds
StrategyHedging
TechniqueClassical time series
GeographyGlobalUS
Also stated: Sharpe ratio, out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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The paper's neighbourhoodHedging strategies by year
FamilyHedging strategies20Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 982
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