国际固定收益共同基金的货币管理

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2024-08-25 DOI:10.1111/jofi.13381

CLEMENS SIALM, QIFEI ZHU

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引用次数: 0

摘要

国际固定收益证券投资面临巨大的货币风险。我们收集了有关美国国际固定收益基金所使用的货币衍生工具的新数据。我们发现，虽然 90% 的基金使用货币远期，但它们平均只对冲了 18% 的货币风险。基于与投资组合货币风险相关的风险管理需求、货币动量和利差交易等提高回报的动机，以及与过往业绩和基金客户相关的战略考虑，基金的货币远期头寸大相径庭。对冲货币风险的基金表现出较低的回报变异性，但不会产生较差的异常回报。

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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.

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

期刊介绍： The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.