October 2022 


FX Hedge Ratios: Implications and Applications

State Street LIVE: Research Retreat offers a wide range of academic expertise and timely market insights.

Robin Greenwood, George Gund Professor of Finance and Banking at Harvard Business School, and academic partner at State Street Associates, and Alex Cheema-Fox, head of flow and positioning research at State Street Associates, use the co-movement of FX and equity and bond positions to estimate target hedge ratios for investors. They then explore the determinants of these hedge ratios over time and over currencies, and how one can forecast FX demand by combining hedge ratios with other features of investors’ portfolios.

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