Currency-Hedged Equity Funds: Performance and Fund Flows

Greger L, Scholz H (2026)

Publication Language: English

Publication Type: Other publication type

Publication year: 2026

URI: https://ssrn.com/abstract=4565638

Open Access Link: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4565638

Abstract

We analyze the measured performance of currency-hedged equity funds from factor models and propose a new factor to account for the return from currency hedging. Our extended factor model should lead to a more accurate measured performance for those funds. In our empirical analyses, we use a sample of ”twin share classes” of equity funds with the same underlying portfolio of Japanese stocks but different hedging behavior: One has a currency hedging designation and the other does not. We show that the introduced factor adequately captures returns from currency hedging. Building on those results, we find a positive relationship between the return contribution from hedging and fund flows. Our results indicate that investors appear to invest more in currency-hedged funds when hedging has recently led to higher fund returns.

Authors with CRIS profile

Lukas Greger Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken Hendrik Scholz Lehrstuhl für Betriebswirtschaftslehre, insbesondere Finanzierung und Banken

How to cite

APA:

Greger, L., & Scholz, H. (2026). Currency-Hedged Equity Funds: Performance and Fund Flows.

MLA:

Greger, Lukas, and Hendrik Scholz. Currency-Hedged Equity Funds: Performance and Fund Flows. 2026.

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