below an example:
July 1: spot 1.20 EUR/USD
Sept 1 futures: 1.3
in Sept, futures is at 1.39 and spot at 1.4
you hold 1mn EUR and fully hedge it.
in Sept, your position grows to 1.2mn EUR. What is your hedged return?
1st thing I do not understand: how can futures prices in Sept differ from spot price?!?!
2nd thing I do not understand: why is it incorrect to calculate the return in 2 steps (1mn using the return on the hedge and 0.2 mn assuming it was not hedged and thus convert this at spot rate)