John Y. Campbell’s presentation analyzes seven major currencies and why only some provide an effective hedge against equity risk, and how that risk may be reduced by a currency hedging strategy. He also discusses the effect of currency hedging on Sharpe ratios and how currency investors should view movements in interest differentials. Please note that text may be difficult to read in this recording.
About the Speaker(s)
John Y. Campbell is the Morton L. and Carole S. Olshan Professor of Economics and Chair of the Department of Economics at Harvard University. Previously, he held teaching positions at Princeton University. Professor Campbell has published over 80 articles on various aspects of finance and macroeconomics, including fixed-income securities, equity valuation, and portfolio choice, and he is co-author of the books The Econometrics of Financial Markets and Strategic Asset Allocation: Portfolio Choice for Long-Term Investors. In 2005, he received the Graham and Dodd Award from the Financial Analysts Journal. He holds a BA degree from Corpus Christi College, University of Oxford, and a PhD degree from Yale University.