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In what currencies are the indices computed?

Answer

All EDHECinfra indices are computed in local currency returns or in a number of international currencies: USD, EUR, GBP, JPY, CAD and AUD.


Return Conversion

For any EDHECinfra index for which the reporting currency  is not the reference currency , the return of that index will first be converted into the reference currency:

The index-level return is then converted into any chosen reporting currency.
where:
 denotes the return of the index in base currency
 denotes the return of the index in the reference currency
 denotes the return of the index in the chosen reporting currency
 denotes the change in the exchange rate from the base currency to the reference currency
In particular, the change in the foreign exchange rate from the base currency to the reference currency is expressed as follows:
where  and  denote the foreign exchange rate from the base currency to the reference currency at time  and respectively.
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