Description
Convert foreign wealth using spotEnd/spotStart and add hedgeFraction×(forward-spotEnd)/spotStart.
A simple return is a change relative to an initial value, while a gross return is a wealth multiplier and a log return uses a logarithm of that multiplier. Dividend, split, fee and currency conventions change what is included.
Convert foreign wealth using spotEnd/spotStart and add hedgeFraction×(forward-spotEnd)/spotStart.
When to use this tool
Use Currency Hedged Return One Forward Term when you need a stated return-basis conversion or contribution.
How to use the tool and how it works
- Enter foreignAssetReturn, spotStart, spotEnd, forwardRate, hedgeFraction. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read unhedgedDomesticReturn, hedgeContribution, hedgedReturn. Use the output convention below.
Require foreign return at least -1, nonnegative hedgeFraction and positive spot/forward values. Convert foreign wealth using spotEnd/spotStart and add hedgeFraction×(forward-spotEnd)/spotStart.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| foreignAssetReturn | Foreign Asset Return | Required. Finite number; minimum -1. |
| spotStart | Spot Start | Required. Finite number; strictly above 0. |
| spotEnd | Spot End | Required. Finite number; strictly above 0. |
| forwardRate | Forward Rate | Required. Finite number; strictly above 0. |
| hedgeFraction | Nonnegative fraction of initial foreign notional; values above one are allowed. | Required. Finite number; minimum 0. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| unhedgedDomesticReturn | Unhedged Domestic Return | Required. Finite number. |
| hedgeContribution | Hedge Contribution | Required. Finite number. |
| hedgedReturn | Hedged Return | Required. Finite number. |
{
"input": {
"foreignAssetReturn": 0.1,
"spotStart": 2,
"spotEnd": 1.8,
"forwardRate": 2,
"hedgeFraction": 1
},
"output": {
"unhedgedDomesticReturn": -0.009999999999999898,
"hedgeContribution": 0.09999999999999998,
"hedgedReturn": 0.09000000000000008
}
}Limitations and assumptions
- All FX quotes are domestic per foreign and hedge is relative to initial foreign notional. Fractions above one are allowed; fees, collateral, rolling and hedge recommendation are absent.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Reconstruct the full investment cashflow and adjustment history for performance analysis. Align horizons, quote direction and numeric return scales, and include relevant fees and taxes explicitly.
References
Similar or alternative tools
- Fx Covered Interest Parity Gap
Return spot×domestic growth/foreign growth and observed forward minus parity forward.
- Return Quote Currency Factor
Multiply them and subtract one for simpleReturn.