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.

中文翻译：

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国际固定收益共同基金的货币管理


国际固定收益证券投资面临重大货币风险。我们收集有关美国国际固定收益基金使用的货币衍生品的新数据。我们记录显示，虽然 90% 的基金使用货币远期交易，但它们平均仅对冲 18% 的货币风险。基金的货币远期头寸因与投资组合货币敞口相关的风险管理要求、货币动量和套利交易等回报增强动机以及与过去业绩和基金客户相关的战略考虑而存在很大差异。对冲货币风险的基金表现出较低的回报波动性，但不会产生较差的异常回报。