I want to calculate annual excess returns on portfolios using monthly returns for a CAPM (for the assets in the portfolio as well as for the benchmark), in order to have more information on the correlations, more precise betas.
All these portfolios are from Sweden. Is it good practice to include the currency risk in the correlations with expressing all returns (incl. the benchmark) in SEK?
Full disclosure: This breaks down my longer question into specifics. Please bear with me. From: annual excess returns from CAPM on monthly total returns