Currency Mgmnt by International Fixed Income Mutual Funds

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Qifei Zhu

Topic: Currency Management by International Fixed Income Mutual Funds

Speaker: Qifei Zhu, Nanyang Technological University

Abstract: Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that over 90 percent of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Fund currency strategies differ substantially based on risk management demands related to the currency denominations, speculative demands such as currency momentum and carry trade, and incentives related to past performance and fund clienteles. Funds that hedge their currency risk exhibit lower return variability, but do not generate inferior risk-adjusted returns.

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Moderator: Jing Xu, University of Technology Sydney

Date: Wednesday, 10th March 2021
Time: 12=1 pm (Australian Eastern Daylight Time)
Venue: This is on online Zoom webinar.

Seminar protocols:

  • The webinar will run for 45 minutes, followed by a 15 minute Q&A session.
  • There will be a moderator for each seminar event, who will facilitate communication and resolve any technical issues.
  • Participants can use the chat facility or raise their had to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or unmute the participant so they can ask the question directly to the presenter.

Co-ordinator: Harry Scheule

Enquiries: Duncan Ford

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