Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Please note that all times are shown in the time zone of the conference. The current conference time is: 9th May 2025, 10:13:05am EDT

 
 
Session Overview
Session
Track TH6-6: International Finance
Time:
Thursday, 22/May/2025:
2:45pm - 3:30pm

Session Chair: Tony Zhang, Federal Reserve Board
Discussant: Hyeyoon Jung, Federal Reserve Bank of New York
Location: Gateway South 122


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Presentations

Do Funds Engage in Optimal FX Hedging?

Leonie Braeuer1,2, Harald Hau1,2,3

1University of Geneva; 2Swiss Finance Institute; 3CEPR

Using comprehensive new contract level data (EMIR) for the period 2019-2023, we explore how the FX derivative trading by European funds compares to a feasible theoretical benchmark of optimal hedging. We find that hedging behavior by all fund types is often partial, unitary (i.e., with a single currency focus), and sub-optimal. Overall, the observed FX derivative trading does not significantly reduce the return risk of the average European investment funds, even though optimal hedging strategies could do so without incurring substantial trading costs.

Braeuer-Do Funds Engage in Optimal FX Hedging-367.pdf


 
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