Currency Management by International Fixed Income Mutual Funds / Clemens Sialm, Qifei Zhu.

Format:

Book

Author/Creator:

Sialm, Clemens.

Contributor:

National Bureau of Economic Research.

Zhu, Qifei.

Series:

Working Paper Series (National Bureau of Economic Research) no. w29082.

NBER working paper series no. w29082

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2021.

Summary:

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

Notes:

Print version record

July 2021.