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Currency Management by International Fixed-Income Mutual Funds
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.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir (Koleksi Majalah) | 1 |
| Penerbit | USA The American Finance Association., 2024 |
|---|---|
| Edisi | Volume 79, Issue 6, December 2024, Pages 4037-4081 |
| Subjek | Investments Mutual funds Currency Management Fixed-Income Portfolio Currency |
| ISBN/ISSN | 1540-6261 |
| Klasifikasi | NONE |
| Deskripsi Fisik | ill, chart, table, grafik, 676 hal, 20 cm |
| Info Detail Spesifik | The Journal of Finance |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |
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