Suppose you hold X currency and you are investing in Y.
The process is then X->Y, then, Y->Y’, then at the end, Y’->X’.
The risk then in this entire investment is: 1) Investment in the forieng nation (the process of translating Y->Y’), 2) Future FX rate which is shown as Y’->X’.
Now, if all these risks are hedged, then the risk becomes risk free.
I do have a mathmatical explanation to thus, but I think you can write this out yourself, start with $1 then divid by FX rate and get 1EUR.
Then invest the 1EUR in foreign market and earn the T bill interest (suppose investing in fix); thus, 1*(1+r EUR rate), then at the end, returning this FX back to domestic; thus, multiply by the future exchange rate.
Now, if all are hedged, then the rate of investment becomes your innitial investment money amount; but carried out by time, which you can safe to assume as the T-Bill rate for 1 year, which is a risk free rate, if you think in static 1 year only investment.
Hope it clarifies your Q.