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


投资于国际固定收益证券面临重大货币风险。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。我们记录到，虽然 90% 的基金使用货币远期，但它们平均仅对冲 18% 的货币敞口。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需求、回报提升动机（如货币动量和套利交易）以及与过去表现和基金客户相关的战略考虑而有很大差异。对冲货币风险的基金表现出较低的回报可变性，但不会产生较差的异常回报。