Carteras de fondos de inversión Rankianos para el 2023: análisis, opiniones y consultas

 No sé si tienes alguna lectura o estudio que hayas analizado que permita concluir que esa idea es extrapolable a todo periodo y lugar, pero si lo tienes te agradeceré que me lo pases para poder echarle un vistazo, pues sobre esto lo que se puede encontrar en más bien escaso -leí un artículo muy interesante sobre ello de Unai Ansejo, pero poco más he visto, la verdad-. 

In addition to affecting the expected mean return over shorter horizons, hedging will affect the overall variance of returns. The variance of returns on an unhedged portfolio that is invested in foreign assets is comprised of three components: the underlying volatility of the foreign asset returns; the volatility of the spot exchange rate; and the correlations between the exchange rate and returns on the assets in the portfolio (both foreign and domestic).

The volatility in the foreign assets and the spot exchange rate always add to the volatility of the portfolio’s overall returns, while the correlations between the exchange rate and the asset returns (the covariance component) can be positive or negative, and so increase or decrease the volatility of returns. Hedging eliminates the volatility in the spot exchange rate and the covariance component. Whether hedging will result in higher or lower volatility than an unhedged portfolio depends on the net effect of these two components. If there is a positive covariance between the exchange rate and the underlying asset returns, the hedged portfolio returns will always be less volatile than unhedged portfolio returns. This is because, with positive covariance, a rise in the exchange rate (a depreciation of the Australian dollar) will tend to occur at the same time when there are positive returns on the underlying assets. As a consequence, unhedged currency movements will amplify the magnitude of any gains or losses on the underlying assets.

However, if a negative covariance exists, the impact of hedging on the total portfolio
volatility will depend on the size of the covariance. If the negative covariance more than offsets the volatility in the exchange rate, then total volatility on hedged returns will be higher than for unhedged returns. On the other hand, if the negative covariance is relatively weak (such that it does not fully offset the volatility in the exchange rate), then the volatility of the overall portfolio can be reduced by engaging in some degree of hedging.