RIMES breaks new ground with FX overlay project

One of Switzerland’s largest pension funds had overhauled its investment process and needed to recalculate its strategic performance benchmark as a result. With FX overlay calculations proving challenging, the firm looked to RIMES for help.

The Need

In 2018, one of Switzerland’s largest pension funds had commissioned Dr. Stefan J. Illmer, a globally-respected investment performance consultant, to conduct a review of the performance calculation underpinning its strategic benchmark as part of an operational refresh. Having defined how best to calculate the return on the benchmark, Stefan and his client hit a roadblock relating to the fund’s FX overlay strategy. One problem was that the firm uses a large number of indices from different providers, each with its own technical setups for calculating hedged returns.

Key Takeaway

Over just three months, RIMES identified and accessed the constituent-level data the pension fund would need to accurately identify FX exposures within its performance benchmark and worked on the associated calculations.
Following that, a further three months were spent testing and perfecting the system. During this process, RIMES demonstrated its ability to adapt to the client’s unique processes and calculations.

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