I want to get the daily returns in USD given returns in local currency (say Japanese Yen).
Say for example, on February 3rd according to Factset, the returns of Inpex Corp (Japan) are:
- In USD: 0.1740694 (R_Desired)
- In JPY: 0.13843775 (R_Local)
The approach I used was this:
- JPY-USD on Feb-02 is: 113.311 (FX(0))
- JPY-USD on Feb-03 is: 112.789 (FX(-1))
R_USD = (R_Local+1)x(FX_rate+1)-1
FX_rate = (FX(-1)/FX(0))-1= 0.004628111 (It's FX(0)/FX(-1) if you have the exchange rate in the desired currency).
R_USD = 0.143709068 (different to what we are supposed to get in R_Desired).
Do I need to consider something else? What do I need to get that return to be as the one Factset gave back.
Thanks for your time!