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Journal Article

Optimal Currency Hedging for International Equity Portfolios

October 18, 2018 - Jacob Boudoukh Matthew P. Richardson Ashwin Thapar Franklin Wang

We explore currency exposures in international equity portfolios by decomposing the optimal currency portfolio into a “hedge portfolio,” which minimizes equity volatility, and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry.

Journal Article

Long Horizon Predictability: A Cautionary Tale

June 18, 2018 - Jacob Boudoukh Matthew P. Richardson

We show there is much less evidence of long-horizon return predictability than existing research suggests, casting doubt over claims about forecasts based on stock market valuations and factor timing.

Working Paper

The Complexity of Liquidity: The Extraordinary Case of Sovereign Bonds

August 1, 2016 - Jacob Boudoukh Jordan Brooks Matthew P. Richardson Zhikai Xu

We analyze the cross-section of developed countries’ bond spreads.We show that under certain conditions, especially credit deterioration and flight to quality, new issue, and more liquid, bond spreads tighten and become cheaper, not more expensive, relative to their less liquid counterparts.

White Paper

Risk Without Reward: The Case for Strategic FX Hedging

September 18, 2015 - Jacob Boudoukh Michael Katz Matthew P. Richardson Ashwin Thapar

In the wake of losses associated with the sharp rise in the U.S. dollar between 2014 and 2015, we look at the long-term case for strategic currency hedging.