FX & Hedging
Independently check that a share class is correctly hedged.
FX & Hedging independently checks how well a share class's currency hedging is working. It recalculates hedge ratios and hedging costs from scratch and compares them against the administrator's figures, so you can see whether a share class is properly hedged and whether the FX rates and costs behind it are correct. It answers: is this share class correctly hedged, and are its FX rates and hedging costs accurate?
How it works
Using the fund's NAV, hedging positions, and FX trades, it recalculates the portfolio's currency exposures and the amount actually hedged, then derives a hedge ratio showing how closely the hedging matches the intended strategy (a ratio of 1 means perfectly executed). It supports several strategies (no hedging, single-currency, portfolio, and benchmark hedging) and also recomputes the cost of hedging from the interest-rate difference between the two currencies involved. It flags an anomaly when the recomputed hedge ratio drifts outside expected bounds, or when the administrator's FX rates disagree with independent rates from an external data vendor.
What you get
- The hedge ratio per share class (how closely the actual hedging matches the intended strategy; a value of 1 means perfectly hedged).
- Hedging cost estimates and their drag on share-class returns.
- FX rate validation against an independent data vendor, flagging mismatches versus the administrator's rates.
- Event alerts: hedge ratio out of bounds, unusual FX moves on hedged classes, FX-forward trades detected, and hedging-parameter discrepancies.
How to use it in Spark
The hedge ratios, costs, and alerts arrive as data in your workspace. Monitor them in a data view or on a canvas, and let a workflow or the Agent act when a hedge falls out of bounds.