Currency Hedge Ratio Calculator
Currency Hedge Ratio: a planned Super Calculator tool. Covers exposure value (currency). Stub page while the tool and its worked example are prepared.
Currency Hedge Ratio Calculator is a planned calculator in the finance section of Super Calculator, covering forex.
What this calculator will compute
Inputs: exposure value (currency), exposure and instrument return series, contract size and correlation and volatilities (%).
Outputs: optimal hedge ratio, contracts required, residual risk after hedging (%) and hedge effectiveness (%).
Formula, recorded as scope and not yet verified against a primary source: The minimum variance hedge ratio equals the covariance of the exposure and the hedging instrument divided by the variance of the instrument, which reduces to the regression beta of the exposure on the hedge. A full hedge is optimal only when the correlation is one.
Status
This page is a stub. The calculator is not built, no figure on this page has been verified against the authority that sets it, and nothing here should be used to make a decision. The page exists so that the site structure is complete and so that articles can link this concept on first mention.
The stub carries noindex, nofollow and is excluded from the sitemap.