We'd like to remind Forumites to please avoid political debate on the Forum... Read More »
We're aware that some users are experiencing technical issues which the team are working to resolve. See the Community Noticeboard for more info. Thank you for your patience.
📨 Have you signed up to the Forum's new Email Digest yet? Get a selection of trending threads sent straight to your inbox daily, weekly or monthly!
Hedged ETFs performance reconciliation
Options
seppel05
Posts: 2 Newbie
Hi guys,
I am currently trying to understand how hedged ETFs track against their unhedged equivalents if comparing them in a synthetic way.
As an example, I am looking at CRHG (iShares Global Corporate Bond UCITS ETF GBP Hedged (Dist)). This has ~55% US exposure, ~25% Europe (incl UK) and ~15% other geographies. As proxies for US and Europe I am looking at LQDS (iShares USD Corporate Bond UCITS ETF (Dist)) for US and IEAA (iShares Core Euro Corporate Bond UCITS ETF (Acc)) for Europe.
LQDS did 8.2% over the last year (in USD, assuming no reinvestment) while IEAA did -0.78% (in EUR, including reinvestment). This compares to 2.0% of performance for CRHG.
At a weighting of 55% US / 25% Europe I get to 4.3% as synthetic performance (assuming the 15% Other did 0%) which is significantly more than the 2.0%.
Can anyone help me understand how this links together? I am aware that this includes some grossly simplifying assumptions (e.g. risk of wrong reference ETFs, ignoring the 15% Other allocation) but directionally it should be there. What am I missing?
Thanks in advance!
I am currently trying to understand how hedged ETFs track against their unhedged equivalents if comparing them in a synthetic way.
As an example, I am looking at CRHG (iShares Global Corporate Bond UCITS ETF GBP Hedged (Dist)). This has ~55% US exposure, ~25% Europe (incl UK) and ~15% other geographies. As proxies for US and Europe I am looking at LQDS (iShares USD Corporate Bond UCITS ETF (Dist)) for US and IEAA (iShares Core Euro Corporate Bond UCITS ETF (Acc)) for Europe.
LQDS did 8.2% over the last year (in USD, assuming no reinvestment) while IEAA did -0.78% (in EUR, including reinvestment). This compares to 2.0% of performance for CRHG.
At a weighting of 55% US / 25% Europe I get to 4.3% as synthetic performance (assuming the 15% Other did 0%) which is significantly more than the 2.0%.
Can anyone help me understand how this links together? I am aware that this includes some grossly simplifying assumptions (e.g. risk of wrong reference ETFs, ignoring the 15% Other allocation) but directionally it should be there. What am I missing?
Thanks in advance!
0
Confirm your email address to Create Threads and Reply
Categories
- All Categories
- 350.8K Banking & Borrowing
- 253K Reduce Debt & Boost Income
- 453.5K Spending & Discounts
- 243.8K Work, Benefits & Business
- 598.6K Mortgages, Homes & Bills
- 176.8K Life & Family
- 257.1K Travel & Transport
- 1.5M Hobbies & Leisure
- 16.1K Discuss & Feedback
- 37.6K Read-Only Boards