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Currency attribution · for fund managers When a hedged class lags,
know exactly why.

The currency in every class's return, taken apart down to the positions. Then a hedge that keeps up between rolls.

Start a two-week pilotSee the case
1 to reviewPositions · 30 Sep 2026
Attribution

What each class's return was made of

Q3 2026C$m
Class H return+1.8%Balanced Fund · Class H
Currency in the return(40) bpsUS assets hedged to CAD
Hedged classes drag(C$3.1M)Harbourview Funds · Q3
By classCurrency drag · Q3
Hedged classCurrency dragShare
HBalanced · Class H(C$1.2M)39%
FIncome · Class FIncluded in other classes
IGrowth · Class IIncluded in other classes
Other classes · combined(C$1.9M)61%
Copied for the committee
Attribution

Balanced Fund · Class H · Q3

By classMarket or roll
Currency in the return(C$1.2M) · (40) bps
Market(C$0.4M)Since the roll(C$0.8M)(C$1.2M)
USD/CAD −2.4% on the open shareNew money, price gains and roll spread
DriverPartAmountShare
USD on the open shareMarket(C$0.4M)33%
New money after the rollSince roll(C$0.4M)33%
Price gains after the rollSince roll(C$0.3M)25%
Roll spreadSince roll(C$0.1M)8%
Fixable between rollsTwo thirds came after the roll.
Coverage

US assets hedged to CAD · Harbourview Funds

30 Sep 2026
Cover against policyBand 90–100% · target 95%
0%90100
Balanced · Class HBelow band since 14 Jul80%95%Off bandIn band
Income · Class F94%In band
Growth · Class I97%In band
Size the top-up1 class outside policyAll classes inside policy
Class H · Sell US$32M forwardCoverage 80% → 95%
ReadyCopy for the committee
Copied for the committee

A multi-asset manager Unplanned currency swings down 65%, modelled on its own history. See the case →

The gap

The return ties out. Nobody can say how much was currency.

What the total hides

The hedge is sized once a quarter. The fund changes every day.

US exposure · Class H
ExposureUS$180MUS$214MCoveredUS$171MOpenUS$9MUS$43M
Covered95%80% · US$171M
Left open by policyUS$9M
New money and price gains since the rollNone yetUS$34M
What the roll expects it to cost · bpsWhat it cost a hedged class · bpsNothing(40) bps
Inside the 90–100% band. No currency drag expected.0(9)Jul0(20)Aug0(11)Sep

Worked example

Class H's 40 bps, taken apart.

Select a part: where it came from, why it moved, and what to do.

Class H · Q3 · currency in the return(40) bps
Market (C$0.4M)Since the roll (C$0.8M)
Currency in the return(C$1.2M) · (40) bps

Every line ties to the administrator’s file of 30 Sep 2026

The dollar fell on the open share(C$0.4M)
Traced to
  1. Balanced Fund · Class H
  2. US positions
  3. The 5% the policy leaves open(0.4)
Why it moved

USD/CAD fell 2.4%. The share of US positions the policy leaves uncovered moved with it.

What to do

Nothing to fixAny class on the same policy saw the same move.

The fix

Keep the hedge in step with the fund.

Checked against each fund's policy. Your desk trades with its own banks.

US exposure · Class H · quarter endUS$214M
CoveredUS$171MLeave as is
Left open by policyUS$9MIntended
Unplanned gapUS$34MTop up now, or note why
How new money slips throughQ3
30 Jun roll30 Sep next roll
Cover set · 95%30 Jun rollNew money · US$18M14 Jul
Uncovered 11 weeks
On the report:still 95%
Cash at the 30 Sep roll · Class HUSD/CAD fell 2.4% in Q3
Maturing forwardsUS$171Msettle at the roll
Cash from settlement+C$5.6Mthe dollar fell, so the hedge pays in
New hedgeUS$203M95% of US$214M, to 31 Dec
If USD/CAD rises 2% by 31 Dec(C$5.4M)cash to find at the next roll
Top-ups triggered by your own tradesFewer, longer rollsEvery class under one policy

The goal No currency swing in a hedged class that nobody decided on, and a program you can explain class by class.

A multi-asset manager

The hedge drifted with the funds' own trades.

Days outside the 90–110% band, three years
Cover policy
90–110%
100% ±10%
As runWith the top-up rule
Days outside band
0%100%
As run → rule
Fund A
80% → 11%
Fund B
55% → 9%
Fund C
26% → 5%
Fund D
19% → 6%
Average
45% → 8%
What changed
−65%unplanned currency swings
Days outside the band, all four funds
As run45%
With the rule8%
Seven figuresa year to carry the hedge, now visible fund by fund
  1. SeenFund A spent 80% of the year out of band. The average showed 45%.
  2. CauseMost changes in cover came from trades and subscriptions the desk saw that day.
  3. FixTop up as soon as cover leaves the band. Rolls can then be longer and fewer.

Policy 100% ±10%. Modelled on three years of the manager's own history. Identity withheld.

Who asks

Whoever asks, the same answer.

Class H · Q3 · four drivers(C$1.2M)
Market(C$0.4M)
New money(C$0.4M)
Price gains(C$0.3M)
Roll spread(C$0.1M)
Market (0.4) · Since the roll (0.8)Same run 7d1a…c3f0

Your stack

Your systems stay. Orbit adds the why.

CSVPositionspositions.csvXLSXNAV by classnav_by_class.xlsxXLSXForwards and ratesforwards.xlsx
OrbitReads the exports. Adds the why.
Class H · Q3(40) bpsTraced to the positions
ReproducibleSame inputs, same answer, tied to the administrator.
Walled offYour data never mixes with another client's.How we handle your data
IndependentEarns nothing from any trade, so it can tell you to hedge less as readily as more.
Built byCorporate data scientists and financial engineers
Advised byFX leaders from Bank of America, BMO, Magna
Backed byDiagram · SagardSOC 2 Type I · Type II in observation

Getting started

One share class is enough to start.

  1. Income Fund · Class FBalanced Fund · Class H
    01

    Choose a class

  2. positions.csvnav.xlsxforwards.xlsx
    02

    Export what you already have

    No integration.

  3. (40) bpsTraced
    03

    Get it traced back

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