Politics heightens FX risk for sterling and yen investors

Risk models show the yen to be the riskiest developed currency

Japanese currency news
Close correlation: short-term risk of yen-denominated portfolio was higher due to volatile USD/JPY exchange rate

Institutional investors with yen- and sterling-denominated multi-asset portfolios face higher short-term foreign exchange risks than their peers, according to new research – a situation that could be exacerbated by political uncertainty and its impact on currency markets.

In its white paper FX Trumps Correlation, Axioma, a provider of risk management and portfolio construction solutions, found that in the aftermath of the US election, the unusually strong correlation between asset classes expose