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The performance of currency hedge funds and the yen/USD carry trade

✍ Scribed by Jarkko Peltomäki

Publisher: John Wiley and Sons
Year: 2011
Tongue: English
Weight: 121 KB
Volume: 16
Category: Article
ISSN: 1076-9307
DOI: 10.1002/ijfe.417

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✦ Synopsis

Hedge funds are often related to the yen carry trade. This paper investigates the exposures of hedge funds that focus on currency assets to the returns of the yen/USD carry trade. The results suggest that the exposure of these hedge funds is positive only when carry trade returns are negative. Also, the results implicate that the exposure of hedge funds to the carry trade returns may be conditional on the implied volatility of the yen/USD exchange rate. And changes in this implied volatility have statistically significant impact on the returns of hedge funds.

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