Currency Management by International Fixed‐Income Mutual Funds
研究了美国国际固定收益基金如何使用货币远期合约管理汇率风险，发现平均仅对冲18%的敞口，且对冲基金波动更低但未牺牲超额收益。
ABSTRACT 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.