Can Joey or someone help me with this issue. If I have a JPY based fund that invests in a USD based fund and they hedge the JPY how can I determine the impact from hedging? If we assume they are 100% hedged, then based on Bloomberg if I opened a forward contract on 8/31 for 9/28 then the forward rate was 115.3981 and the spt rate was 115.78. On September 28th, the spot rate was 114.80. Now assume the fund was +1% for September. What would the return be in USD? Is it +70bps since the forward contract gained 30 bps?? I dont know why this is tripping me up…
sounds good to me. Remember that unless you know exactly how they hedged (like the exact dates and prices at which they entered contracts or rolled) you will not be able to get exactly what the impact of hedging was.
Thanks Joey, I know that I will never be able to back into the exact return as it depends on when in the day they bought/sold the contact and also the length of time, but I just wanted to make sure my theory was correct. FX can get so confusing tryign to remember all the little details.