Chapter 10. Fund investments and currency movements1
1This chapter is based on a joint work with my colleague Robert de Veer.
Chapter Outline
10.1. Exchange rate movements: empirical evidence204
10.2. The impact of exchange rate movements on fund investments and benchmarking209
10.3. Skills or (bad) luck?214
10.4. Are exchange rate movements predictable?215
10.5. Currency crashes and early warning systems219
10.6. Should limited partners hedge their exchange rate risk?221
10.7. Summary and conclusions225
Exchange rates matter. A US-based investor is interested in returns in US dollars rather than in local currency returns, just as much as an investor based in the euro area is interested in returns in euros. In cross-border transactions, returns in ...
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