On the rewards to international investing: a safe haven currency perspective

Article dans une revue: The safe haven property of the Swiss franc presents a specific challenge for internationally minded Swiss-based investors. The central issue is whether the traditional under-performance of Swiss assets is made up by the secular appreciation of the Swiss franc combined with the propensity of the safe haven to strengthen in times of market stress. In this paper, we review the evidence on the terms of this challenge. We conclude that a Swiss bias in asset allocation can lead to considerable return shortfalls over the long run and that systematic currency hedging would not have been historically justified and is unlikely to be in the future. Assuming a fair amount of currency risk thus appears inevitable for long-run Swiss-based investors.

Auteur(s)

Jean-Pierre Danthine, Samuel Danthine

Revue
  • Swiss Journal of Economics and Statistics
Date de publication
  • 2018
Mots-clés JEL
F30 F31 G1 G11
Mots-clés
  • Uncovered interest parity
  • Safe haven currency
  • Currency hedging
Version
  • 1
Volume
  • 154