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The Returns on PerformanceBased International Equity
Stock Return Anomalies in NonU S Markets Gary L Bergstrom
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active management analysis asset allocation asset class average basis points benchmark bond market bond portfolio capital cash changes corporate correlations countries currency exposure currency hedging currency overlay currency returns currency risk diversified domestic EAFE earnings yield emerging markets equities of firms equity markets equity portfolio equity risk premium excess return exchange rate expected return FIGURE firms headquartered forecasts foreign currency foreign equities foreign exchange exposure foreign stocks forward contract France funds futures contracts Germany global asset allocation global bond global equity index fund indices interest rate international portfolio investment policy Japan market value market-value weights measure Netherlands optimization option passive management percent period Portfolio Management QU0T rate of return risk premium securities spot exchange rate standard deviation stock market strategy Switzerland Table tion total return tracking error U.S. dollar U.S. equity U.S. investors U.S. market underperformance unhedged United Kingdom volatility weights world market yield curve