Currency Management by International Fixed-Income Mutual Funds

• 成果类型: Article
• 署名作者: Sialm, Clemens; Zhu, Qifei
• 署名单位: University of Texas System; University of Texas Austin; National Bureau of Economic Research; Nanyang Technological University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13381
• 发表日期: 2024
• 页码: 4037-4081
• 关键词: risk-management; INVESTMENT; momentum; incentives; industry; FLOWS

摘要

Investments in international fixed-income securities are exposed to significant currency risks. We collect novel data on currency derivatives used by U.S. international fixed-income funds. We document that while 90% of funds use currency forwards, they hedge, on average, only 18% of their currency exposure. Funds' currency forward positions differ substantially based on risk management demands related to portfolio currency exposure, return-enhancement motives such as currency momentum and carry trade, and strategic considerations related to past performance and fund clientele. Funds that hedge their currency risk exhibit lower return variability, but do not generate inferior abnormal returns.