lcai

yodhava Wrote:
-------------------------------------------------------
> They could have added one more bit of complexity
> to the problem by adding
>
> - the UK bond returns and risk measures are in
> "local currency".
> - and they give you the correlation between the UK
> asset returns with the exchange rate (0.3) and
> return on the US/UK exchange rate (-1.5%)
>
> nice practice example, thx


It would be the standard deviation of exchange rates, not the return correct?