By Bruno H. Solnik
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Extra resources for Predictable Time-Varying Components of International Asset Returns
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S. equity and only 10 percent in foreign equity. The theory does not state that the 10 percent should remain invested in the EAFE. The optimal composition of foreign holdings is likely to be strongly affected by their relative importance in the total portfolio. Similarly, the optimal currency-hedging policy is likely to depend on the percentage of foreign assets in the total portfolio. Looking at risk alone, Jorion (1989,1991) showed that the currency contribution is hardly 22 See Solnik (1993a),Black and Littermann (1992),Adler and Solnik (1990),and Black (1989, 1990).
1986. " Journal of Financial Economics (December):357-90. Kritzman, Mark. 1991. " Financial Analysts Journal (Sep tember/October):lO-11. , and A. Craig MacKinley. 1988. " Review of Financial Studies (Spring):41-66. , and Kenneth D. West. 1987. " Econometrica (May):703-08. Odier, Patrick, and Bruno Solnik. 1993. " Financial Analysts Journal (March/April):63-77. Perold, Andre, and Evan Schulman. 1988. " FinancialAnalystsJournal (May/June):45-50. , and Lawrence H. Summers. 1988. " Journal of Financial Economics (October):27-60.
Because of the relative independence of market movements from currency movements, international asset allocations that differ from the allocations of the benchmark can lead to marked differences in performance. The result is clear in the huge differences in performance, as reported by the major firms measuring international performance, of international money managers with similar mandates. Given the importance of the benchmark and the debate about its choice, how should one choose? What are the desired attributes of a benchmark?