Investments in international fixed income securities are exposed to significant currency risks. We collect novel data on mutual fund currency derivatives and document that around 90% of U.S. international fixed income funds use currency forwards to manage their foreign exchange exposure. Funds'...

Increasingly, consultants for fund management firms care about the riskiness of fund managers’ investment strategies. Fund managers themselves must care about the riskiness of their investment strategies vis-a-vis the client’s specified benchmark