Template-Type: ReDIF-Paper 1.0
Author-Name: Inês Lindoso
Author-X-Name-First: Inês
Author-X-Name-Last: Lindoso
Author-Name: Andreas Schrimpf
Author-X-Name-First: Andreas
Author-X-Name-Last: Schrimpf
Author-Name: Vladyslav Sushko
Author-X-Name-First: Vladyslav
Author-X-Name-Last: Sushko
Author-Name: Toma Tomov
Author-X-Name-First: Toma
Author-X-Name-Last: Tomov
Title: Investment funds' de facto currency risk exposure
Abstract: The sensitivity of fund returns to exchange rates, once underlying asset returns are accounted for, provides a measure of funds' exposure to currency risk, ie their de facto hedge ratio. Bond funds have high and stable hedge ratios, though with some sensitivity to hedging costs. Equity funds' hedging is volatile and consistent with opportunistic currency speculation. In the run-up to April 2025, equity funds with low hedge ratios attracted most inflows and outperformed those with high hedge ratios, but this relation flipped following "Liberation Day".
Length: 8 pages
Creation-Date: 2026-04-22
File-URL: https://www.bis.org/publ/bisbull123.pdf
File-Format: Application/pdf
File-Function: Full PDF document
File-URL: https://www.bis.org/publ/bisbull123.htm
File-Format: text/html
Number: 123
Handle: RePEc:bis:bisblt:123