The currency conversion benchmark allows you to convert the vendor-supplied index returns from your base currency to another base currency.
When using the currency conversion process in Performance reports, the Currency Process and Currency Type options must be set on the underlying PERFORM database fields. PACE prompts you to set them when creating or editing PERFORM database fields.

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Calculate Returns

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The weight columns are copied from the source to the target index, there is no conversion required.
This data is described in the following table.

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Currency Conversion Benchmark Example

For this example, assume the following currency conversion:
Source Index (USD BASE_CURRENCY)  Target Custom Benchmark (INR BASE_CURRENCY)
Data for the currency conversion benchmark source index is listed in the following table.

Resulting target data for the currency conversion benchmark is listed in the following table.

Complete the following:

1. Retrieve the begin and end exchange rates listed in the following table.

   Effective Date	INR	USD	Spot Rate
   4/30/2000	1457	1454	43.66
   5/31/2000	1457	1454	44.25

   
   

2. Calculate the Currency Return:

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((1.013513 * 1.023375) –1)*100 = 3.7204

1. Weights are copied from the source data.

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You can create a custom benchmark with a type of Currency Conversion. In this example, the custom benchmark converts the Domestic Equity Index from USD to British Pounds.
To configure a currency conversion benchmark:

1. Verify that the base currency value was updated for the source entity. See the following figure.

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1. In the Entity Info tab, create the custom benchmark entity as shown in the previous figure.

• Set the entity Type to Custom Benchmark.
• Enter the entity ID and name information for the custom benchmark.

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1. In the Entity Details tab:

• Populate the base currency field for the custom benchmark entity. See the previous figure.

This value is the target base currency. Ensure that the base currency exists on the correct asof date.

• Enter the Inception Date for the custom benchmark.

This field is not required, but as a best practice, Eagle recommends entering an inception date that matches the effective date of the earliest definition (that is, the earliest date associated with data entered in the Custom Index Attribute tab) for the custom benchmark.

• Also, be sure you defined the Base Currency for the source index associated with this Custom Benchmark.

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1. In the Custom Index Attributes tab, define the following information. See the previous figure.

• Effective Date. The effective date of the custom index attributes definition when you save it in the database. In the Select Historical Date section, select one of the following options to identify the date for the attributes you are defining:
• AsOf today
• Use earliest holding date
• Use this value <DATE>

For additional information about the historical date options, see Set Up the Custom Index Attribute for Historical Date.When you edit the entity, additional options become available. For details, see Delete Custom Index Attributes.

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1. source

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1. data

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Ensure that the Source Rule includes a Foreign Exchange Source. The Foreign Exchange Source within the Source Rule is used to determine the spot rate.

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1. .

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1. In the Exchange Rate Source Rule field, select a current source rule to use for the exchange rates.

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• Target Base Currency. Identifies the base currency to convert to. Displays the base currency you entered for the custom benchmark on the Entity Details tab.
• Source Base Currency. Identifies the base currency to convert from. Displays the base currency associated with the source entity selected on this tab.

If you do not indicate the currency, the fields display a value of Not Specified.

1. Click the Finish button.

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