FX hedge ratios fall across top 10 US managers

Counterparty Radar: Proportion of forwards to assets has been sliding since Q3 2020, but some firms buck trend

Declining-hedge-ratio

Foreign exchange forward hedge ratios among the top 10 US mutual fund managers have on average declined over the past three quarters, but individual managers have very different ratios, FX Markets research has found.

The hedge ratios are calculated by taking the US dollar amount of forwards traded by the fund in a quarter and dividing that figure by the firm's total reported assets, with the latter only including assets from sub funds that trade FX forwards.

The average hedge ratio was 26.24%

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