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Lehman Currency Hedging in Fixed Income Portfolios

Lehman Currency Hedging in Fixed Income Portfolios
Lehman Currency Hedging in Fixed Income Portfolios

Portfolios Portfolio managers typically minimize currency exposure in bond portfolios with the useof foreign-exchange forward transactions (forwards). However, the use of forwardscannot entirely eliminate currency volatility, since fluctuations in underlying asset valueswill lead the portfolio to be either over- or under-hedged. In addition, the use of forwardschanges portfolio interest-rate exposures. In this article, we discuss […]

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Lehman Currency Hedging in Fixed Income Portfolios

Portfolios

Portfolio managers typically minimize currency exposure in bond portfolios with the useof foreign-exchange forward transactions (forwards). However, the use of forwardscannot entirely eliminate currency volatility, since fluctuations in underlying asset valueswill lead the portfolio to be either over- or under-hedged. In addition, the use of forwardschanges portfolio interest-rate exposures. In this article, we discuss the currency volatility and interest-rate exposures of currency-hedged securities and \portfolios and the riskintroduced against hedged indices by not replicating index hedges. We also discuss theeffect of exchange rate fluctuations on the relative country allocations of portfoliosmanaged against hedged benchmarks. We discuss the methods that investors can use tominimize risk versus hedged benchmarks. Finally, we discuss enhancements that we aremaking to the analytical information that Lehman Brothers provides for hedged portfo-lios and indices.

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  • عنوان مقاله : ...Lehman Currency Hedging in Fixed Income
  • نوع فایل : PDF
  • حجم فایل : 170 کیلوبایت

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