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Should I include FX Hedges in Gross Exposure?
If a fund has an EUR base currency but invests in a fund whose base currency is USD and then hedges its investment with sell USD/buy EUR FX forward, should I include this FX forward trade in my Gross Exposure calculation?
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- chocolatemoney
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Should I include FX Hedges in Gross Exposure?
Yes, I would exclude only the FX hedges relative to your fund's non-base asset classes.At the same time, a further breakdown should indicate, for example, the gross market exposure, ie. the gross market exposure to equities.