Iam doing research on return characteristics. As of today the scope of the research has changed from a local investor point of view to an international investor point of view. This basically means that returns have to based on returns in US$ instead of their local currency. The most obvious way would be to download all the returns again and then annualize them. But this is a fairly tedious job and time consuming. A professor told me that I could also download the historic currency rates (so for example from JPY to USD) and then multiply the returns with this number.
I followed her advice in doing so and downloaded the average yearly historic rates. At first sight it looked plausible as , for example, the yearly return in AU$ was around 17 % and the conversion rate was 0.95 for that year. But looking at JPY returns, for a given year, of 16% and JPY/USD rate of 0.0126 will diminish all returns. So what am I doing wrong?