Base currency return

These fields specify the return of the security over the previous period in its own currency (local return) and in the currency in which the overall return of the portfolio is measured (base return). For instance, if your data is supplied at a weekly frequency, then the security returns should be the base return and local return made over the previous week. These figures should include returns made from all sources, including accrued interest.

If weights are normalised to 1 at each date, then the sum-product of weights and base currency returns will equal the overall portfolio return at that date.

By supplying the weights, base and local currency returns of each security, the user ensures that the overall returns shown in FIA’s reports are identical to the overall returns calculated by the source performance data system.

If local currency return is unavailable but base currency return is available, or vice versa, use the BaseToLocal or LocalToBase options to calculate these quantities from the available data and a supplied set of FX rates. If you use one of these options, an FX file containing exchange rates at each date for which returns are supplied must be available.