CRSP provides hedged indexes for foreign investors who only want exposure to the U.S. equity market by hedging the foreign exchange risk between a U.S. dollar and a foreign currency. The construction of the hedged indexes closely mimics the hedging process in practice. WM/Reuters is CRSP’s source for spot and forward rates. The hedged amount, or the size for the Forward contract, is defined as the end-of-day hedged index level at the second-to-last business day of the previous month. The Forward rate for the contract is the 4 p.m. UK closing rate at the last business day of the previous month. The amount hedged is kept constant for the month.
Both the price and total return indexes were first available on December 31, 2012.
CRSP U.S. Total Market Index (CAD-hedged) (CRSPTCH1) Total Return (TR)
Ticker
CRSPTCHT
CUSIP
12630Y108
Bloomberg ID
BBG003PZ7F52
NASDAQ GIDS Post Date
Dec 31 2012
CRSP U.S. Total Market Index (CAD-hedged) (CRSPTCH1) Price Return (PR)
Subscription Information
CRSP provides hedged indexes for foreign investors who only want exposure to the U.S. equity market by hedging the foreign exchange risk between a U.S. dollar and a foreign currency. The construction of the hedged indexes closely mimics the hedging process in practice. WM/Reuters is CRSP’s source for spot and forward rates. The hedged amount, or the size for the Forward contract, is defined as the end-of-day hedged index level at the second-to-last business day of the previous month. The Forward rate for the contract is the 4 p.m. UK closing rate at the last business day of the previous month. The amount hedged is kept constant for the month.
Both the price and total return indexes were first available on December 31, 2012.
CRSP U.S. Total Market Index (CAD-hedged) (CRSPTCH1) Total Return (TR)
CRSP U.S. Total Market Index (CAD-hedged) (CRSPTCH1) Price Return (PR)