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Répartition de l’actif d’un portefeuille d’actions internationales et exposition au risque de change

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  • Desrosiers, Stéphanie

    (Caisse de dépôt et placement du Québec)

  • L’Her, Jean-François

    (Caisse de dépôt et placement du Québec)

  • Xuan, Meimei

    (Caisse de dépôt et placement du Québec)

Abstract

This study presents a general analytical framework for the double decision of country allocation and currency risk exposure. As each of these decisions can be taken in a passive way or in an active way via optimizations, four possible approaches are scrutinized. We use Morgan Stanley Capital International historical index returns for the G-7 countries from July 1976 to June 2001 and compare the relative performance of each approach on an ex post basis. For optimisation based strategies, we focus on the marginal gain of relaxing practical constraints relative to the market indexes (importance of the tilt relative to the market capitalization of the benchmark) and/or the currencies (hedging of the currency risk, cross-hedging, exposure to the currency risk). Cet article présente un cadre d’analyse général du problème double de la décision de répartition de l’actif d’un portefeuille d’actions internationales à travers les marchés boursiers et de la décision d’exposition au risque de change selon que ces décisions sont déterminées de façon passive ou font l’objet d’une optimisation. Quatre approches possibles sont examinées en se basant sur les données historiques des indices boursiers Morgan Stanley Capital International du G-7 de juillet 1976 à juin 2001. La performance relative de chacune des approches est comparée a posteriori. Dans le cas des stratégies d’optimisa­tion, l’accent est mis sur le gain marginal obtenu par le relâchement des contraintes pratiques relatives aux marchés boursiers (importance de l’écart par rapport à la capitalisation relative de l’indice boursier) et/ou aux devises (couverture du risque de change, couverture croisée, exposition au risque de change).

Suggested Citation

  • Desrosiers, Stéphanie & L’Her, Jean-François & Xuan, Meimei, 2002. "Répartition de l’actif d’un portefeuille d’actions internationales et exposition au risque de change," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(4), pages 511-538, Décembre.
  • Handle: RePEc:ris:actuec:v:78:y:2002:i:4:p:511-538
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    References listed on IDEAS

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    1. Kenneth A. Froot, 2019. "Currency Hedging Over Long Horizons," Annals of Economics and Finance, Society for AEF, vol. 20(1), pages 37-66, May.
    2. Heston, Steven L. & Rouwenhorst, K. Geert, 1994. "Does industrial structure explain the benefits of international diversification?," Journal of Financial Economics, Elsevier, vol. 36(1), pages 3-27, August.
    3. Griffin, John M. & Andrew Karolyi, G., 1998. "Another look at the role of the industrial structure of markets for international diversification strategies," Journal of Financial Economics, Elsevier, vol. 50(3), pages 351-373, December.
    4. Glen, Jack & Jorion, Philippe, 1993. "Currency Hedging for International Portfolios," Journal of Finance, American Finance Association, vol. 48(5), pages 1865-1886, December.
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