Entitled:
On the Use of Currency Forwards: Evidence from International Equity Mutual Funds, and co-authored with Steven J. Riddiough, University of Toronto.
The award-judging panel noted that the paper “undertakes the first comprehensive investigation into the use of currency forwards at international equity mutual funds and finds that actively hedging can generate substantial investment outperformance. The panel selected the paper based on its high-quality writing, thoroughness of analysis, and findings that many finance professionals could readily apply.”
Chris Guthrie, CFA, CEO of Hillsdale Investment Management, commented, “I believe this paper is one of the first to seriously study currency hedging in the domain of equity mutual funds. Using hand-collected data, the paper documents important empirical patterns in how international equity mutual funds use currency derivatives for their diverse purposes and objectives. The paper identifies a link between the use of currency derivatives in the equity fund management industry and currency factor premiums such as carry and momentum.”
Read more.