SCR Calculator User Manual

Partially Hedged Return Series

To calculate a partially currency-hedged return series, users need to prepare the data in a spreadsheet before importing it into the calculator.

The formula for a partially hedged series is:

Hedged Return = Local Currency Return + (1 - Hedge Ratio) * FX Movement ± Hedging Gain/Cost

The hedging gain/cost is influenced by several factors, including:

• The hedging method used (e.g., cross-currency swaps vs. forwards).
• Interest rate term structure differentials between the two currencies.
• Basis differences and transaction costs.

As this data is outside the SCR Calculator's database, it is recommended to perform these calculations externally before inputting the data.