Risk Management
Published  10 MIN READ
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Layering Hedges and Extending the Hedge Horizon Through Rolling Hedge Programs

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.

AccountingCash Flow ForecastingCash ManagementCorporate Banking

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