Currency Conversion of Fama/French Factors: How and Why?

Glück M, Hübel B, Scholz H (2020)

Publication Type: Journal article

Publication year: 2020

Journal

Journal of Portfolio Management Institutional Investor Inc

Book Volume: 47

Pages Range: 157 - 175

Journal Issue: 2

URI: https://jpm.pm-research.com/content/early/2020/11/17/jpm.2020.1.192

DOI: 10.3905/jpm.2020.1.192

Abstract

Investors and researchers around the world use Fama/French factors in empirical studies. Most convenient is to download those factors in U.S. Dollars from databases like Kenneth French’s data library. When working from a non-U.S. perspective without converting the currencies of the factors, estimations of both alphas and factor loadings could be affected by exchange rate fluctuations. In this paper we show how to convert Fama/French factors into currencies other than U.S. Dollars. We also illustrate the statistical and economical relevance of the currency conversion based on performance and style analysis of more than 1,700 European equity funds and common European market indices.

Authors with CRIS profile

Maximilian Glück Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken Benjamin Hübel Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken Hendrik Scholz Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken

How to cite

APA:

Glück, M., Hübel, B., & Scholz, H. (2020). Currency Conversion of Fama/French Factors: How and Why? Journal of Portfolio Management, 47(2), 157 - 175. https://dx.doi.org/10.3905/jpm.2020.1.192

MLA:

Glück, Maximilian, Benjamin Hübel, and Hendrik Scholz. "Currency Conversion of Fama/French Factors: How and Why?" Journal of Portfolio Management 47.2 (2020): 157 - 175.

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