Understanding Currency Exposure in Composite Derivatives

[Steven.Davis]

I am trying to understand how to evaluate exposure/ownership in derivative products.

For example, a Brazilian denominated account could have a Euro denominated subaccount which has a position in the Euro E-Mini S&P 500 which is float weighted calculation based on share prices in dollars.

We have multiple correlated currencies, a delta (Dividend Yield - Interest Rate) adjustment, and a float vs shares outstanding wrinkle.

Any help appreciated,
Steven

 

[WinstonTJ]

Quote from Steven.Davis:

I am trying to understand how to evaluate exposure/ownership in derivative products.

For example, a Brazilian denominated account could have a Euro denominated subaccount which has a position in the Euro E-Mini S&P 500 which is float weighted calculation based on share prices in dollars.

We have multiple correlated currencies, a delta (Dividend Yield - Interest Rate) adjustment, and a float vs shares outstanding wrinkle.

Any help appreciated,
Steven

Can I ask why this is posted in the ETF section? Are you trying to price out an underlying ETF basket?

Are you trading US listed products or ADRs or other products?

If you are a retail investor you should focus less time on the currency exposures and more time on the fundamentals or strategy. If you are a big enough fish you will either know all of the currency exposures (because your broker or theirs or the asset manager will give it to you) or you will have services like Bloomberg or Thomson to be able to figure it out on your own.