¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?

Abstract

This study looks for gains in terms of efficiency for local investors with an internationally diversified portfolio by hedging the exchange risk. To estimate an optimum portfolio with a minimum variance we used a robust methodology which allowed us to make statistical inference and prove that international diversification reduces portfolio risk for local investors. This methodology is applied to stock portfolios held by a Colombian and a Mexican investor, and the conclusion is that hedging exchange rate risk can reduce the risk of the portfolio, with the possible exception of a high negative correlation between the exchange rate and the local stock index.