Gotcha. Thats makes so much sense now !!!
on this topic - in the CFA 2010 mock Q54 why have they calculated the hedged return the way they have - for one, they have simply added the R(LC) and R(Fut) rather than multiplying the R(LC) by the (hedged) change in the exchange rate
When you use futures contract to hedge the currency risk then you would use Ret(futures), but when the currency position is left ubhedged then you factor in the actual currency appreciation/depreciation.