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Primary Article

International Benchmarks

In Support of a 50% Hedge Ratio

Stephen Gorman, Edward Qian and Ronald J Surz
The Journal of Investing Summer 2000, 9 (2) 53-62; DOI: https://doi.org/10.3905/joi.2000.319420
Stephen Gorman
Chartered financial analyst, is senior vice president and director of core quantitative research at Putnam Investments in Boston, Massachusetts. He is also a portfolio manager in the firm's Global Asset Allocation Group. He holds an M.B.A. from The Amos Tuck School of Dartmouth College, and a B.A. from the College of the Holy Cross.
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Edward Qian
President of Jahnke & Associates in Orinda, California, and is frequently quoted on the topic of asset allocation.
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Ronald J Surz
Vice president and quantitative analyst in Putnam's Global Asset Allocation Group. He holds a Ph.D. in applied mathematics from Florida State University, and a B.S. from Peking University in Beijing.
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Abstract

The question of policy level currency exposure continues to generate discussion in the pension management community. Too often, plan sponsors relegate the issue to unhedged (and, less frequently, hedged) benchmark absolutisms. The authors convey their belief that strategic asset and currency positions should be determined separately, and that a partially hedged benchmark generally represents a prudent alternative to the widely used unhedged benchmark.

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Vol. 9, Issue 2
Summer 2000
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International Benchmarks
Stephen Gorman, Edward Qian, Ronald J Surz
The Journal of Investing May 2000, 9 (2) 53-62; DOI: 10.3905/joi.2000.319420

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International Benchmarks
Stephen Gorman, Edward Qian, Ronald J Surz
The Journal of Investing May 2000, 9 (2) 53-62; DOI: 10.3905/joi.2000.319420
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