Book 5, Page 299中提到 

“stock returns and currency movements are quite independent. If a foreign asset’s returns are uncorrelated with short-term currency movements, a hedge ratio of unity is a reasonable strategy.”

可是如果他们是independent的话，hedge ratio怎么会有效呢？大家怎么理解的呢？

[此贴子已经被作者于2011-5-26 13:34:02编辑过]

c'z the Fx exposure when investing overseas can be dividided into translation risk and ecnomic risk, so the hedge would be 1+a, and a is largely depend on the corelation between the currency movement and the local investment return, say if they are positively related, the raio gonna be greater than one, if the relation is negative, the hedge ratio gonna be less than one, if they are independent, the ratio could equal to one.

whether it is clear enough?

cheers

这个回答相当不错 我也木有关联到那个上面