Intermediate Return Calculations

Owned by Tom Fahey (Unlicensed)
Last updated: Oct 17, 2023 by Pamela Totas (Deactivated)
1 min read

Performance attribution derives the currency and cross product returns from the base and local data inputs. A description of each intermediate return calculation follows.

Return

Formula

Description

Fund Currency Return

((1+ Base Fund Return) / (1 + Local Fund Return)) − 1

The geometric difference between the Fund base return and the Fund local return.

Fund Cross Product Return

Local Fund Return * Fund Currency Return

Results from the combined effect of the currency and local investment.

Index Currency Return

((1+ Base Index Return) / (1 + Local Index Return)) − 1

The geometric difference between the Index base return and the Index local return.

Index Cross Product Return

Local Index Return * Index Currency Return

Results from the combined effect of the currency and local investment.