Question
The AS51 index is a broad representation of the Australian stock market. A US investor who invests in an unhedged AS51 portfolio effectively buys both
The AS51 index is a broad representation of the Australian stock market. A US investor who invests in an unhedged AS51 portfolio effectively buys both the AS51 as well as the AUDUSD and so is exposed to risk from both of these instruments. The volatility of this portfolio is 24.11% while the volatility of AS51 index is 13.87%.
Assuming that the correlation between AS51 index and the AUDUSD is 0.494, can this correlation help explain the volatility of the portfolio?
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Marketing For Financial Advisors
Authors: Eric Bradlow, Keith Niedermeier, Patti Williams
1st Edition
