Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022)

This paper reassessed the hedging properties of four major safe-haven currencies (US dollar, Swiss franc, euro, yen) in international stock portfolios covering most representative world macroeconomic areas. The main contribution to existing literature is emphasis on optimal and asset-allocation strategies. A further distinguishing feature an accurate comparison, inside a multivariate framework, between value-at-risk simulations assuming equal or asset weights hedged global portfolios. US dollar stands out as best currency, while adding currency single-hedged including either franc euro yields smooth risk profiles during financial crises, average indicators lower than that benchmark fully portfolio.