John Bird, Atlas Risk Advisory LLC
• Increasingly, companies are pursuing continuous rolling hedge programs and shifting away from annual static, set-and-forget hedge strategies.
• We examine the historical results of three different types of hedge programs: an unhedged program, a static “set-and-forget” hedge strategy, and rolling strategies with various hedge initiation periods.
• By contrasting rolling hedge programs against “no hedge” and static hedge strategies, we find that rolling strategies result in more stable hedge results over time with lower period to period deviations.
• Moreover, we find that the longer the hedge horizon, the less volatile the effective hedge rates.