Question
The data given to you in the following table contains the average monthly returns and standard deviations for the S&P 500 index (in USD) and,
The data given to you in the following table contains the average monthly returns and standard deviations for the S&P 500 index (in USD) and, EAFE index (in Local currency and USD) for the period 1991 to 2012.
The correlation between S&P 500 and the EAFE (local currency) over the period is 0.7927 (for local currency). The correlation between S&P 500 and the EAFE (USD) over the entire period is 0.7805.
What is the currency effect of investing in these market indices over the entire period? (Present Computations)
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Entrepreneurial Finance
Authors: Philip J. Adelman; Alan M. Marks
6th edition
9780133099096, 133140512, 133099091, 978-0133140514
