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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

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Most data providers keep the currency of the local country, so there is a high chance you are using stock prices based in SEK and it would also make sense to benchmark it against something other then the S&P500 i.e. one of the Swedish indices.. The real answer is dependent on your data provider –  pyCthon Jul 18 '13 at 3:45
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