Designed to reflect the performance of a currency hedge on an MSCI index
The MSCI FX Hedge Indices are designed to reflect the hedging process by selling currency forwards in the exact weights of the parent MSCI index. They are designed to be used as a currency overlay for the MSCI Global Investable Market Indices and the MSCI Hedged Indices:
They can also be used for benchmarking and performance measurement, and as the basis of index-linked investment vehicles such as OTC options or swaps, structured products and ETFs.
Constructing the MSCI FX Hedge Indices involves the following steps:
- Defining the home currency
- Identifying the currencies to be sold
- Identifying the weight for each currency to be sold in the index
Monthly Performance Comparison
The MSCI FX Hedge Indices can be calculated for any regional or composite index within the MSCI Global Investable Market Indices family. The flagship indices at launch, based in USD & EUR, are:
- MSCI All Country World FX Hedge Index (ACWI)
- MSCI World FX Hedge Index
- MSCI EAFE FX Hedge Index
- MSCI Emerging Markets FX Hedge Index
- MSCI Europe FX Hedge Index
- MSCI Pacific FX Hedge Index
While the flagship indices are calculated in USD and EUR, MSCI FX Hedge Indices can be calculated in most currencies on request.
