SCR Calculator User Manual

Partially Hedged Return Series

To compute a partially-currency-hedged returns series, the user would need to do it in a spreadsheet, before feeding into the calculator.

A partially hedged series can be computed using the formula
Hedged Return = Local Currency Return + (1 - Hedge Ratio) * FX Movement +/- Hedging Gain/Cost

The hedging gain/cost depends on a number of factors, such as:

• Hedging method used (e.g. cross-currency swap vs forwards)
• Interest rate term structure differential between the two currencies
• Basis difference and transaction costs