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Hi David,
How can I optimize FX risk hedge in a fixed income mutual fund facing daily money inflows/outflows?
What´s the recommended structure for the currency forwards (stack and roll hedge, strip of forward contracts each with a different delivery date, etc) in order not to be exposed to shifts in currency forward curve?
Forward contracts arent available with daily maturities (start at 7 days) as fund inflows/outflows (maturity mismatch).
As facing daily fund inflows/outflows the FX exposure changes, so forward contract amount should change too. Should I wait for the original forward contract maturity, or should I make daily unwinds?
Any suggested paper on this subject?
Thanks! The web is great!!
How can I optimize FX risk hedge in a fixed income mutual fund facing daily money inflows/outflows?
What´s the recommended structure for the currency forwards (stack and roll hedge, strip of forward contracts each with a different delivery date, etc) in order not to be exposed to shifts in currency forward curve?
Forward contracts arent available with daily maturities (start at 7 days) as fund inflows/outflows (maturity mismatch).
As facing daily fund inflows/outflows the FX exposure changes, so forward contract amount should change too. Should I wait for the original forward contract maturity, or should I make daily unwinds?
Any suggested paper on this subject?
Thanks! The web is great!!
