If you set Performance System Parameter 30, Use FIA Pre Version 11 Calculations, to Y (Yes), the system replaces OADBeg with OADEnd in the Total Return Decomposition formula for Local Price Return in the section called Additional Return Decompositions.
Eagle Performance uses the following formulas instead.
Total Return Decomposition | |
|---|---|
Currency Return | ((1+ RBase) / (1 + RLocal)) - 1 |
Currency Cross Product | RLocal * RCurrency |
Local Yield Return | ( 1 + OAYield Begin / 2) ^ (2 * Days in Period / Days In Year) - 1 |
Local Price Return | ( - (OAD End * OAYield Change)) |
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