Supplementary files

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In some circumstances you may wish to supply additional data to FIA. This page describes why you might wish to do so, and what extra capabilities will result.

Custom exchange rates

Implied exchange rates are usually calculated from the base currency and local currency returns for individual instruments, supplied in the weights and returns files, and in this case no external exchange rate data need be supplied.

However, in some circumstances you may prefer to calculate your own local currency returns from the existing base returns and a set of externally supplied exchange rates. Typical causes are

  • local currency returns are not available from your performance system
  • local currency returns may be incorrectly calculated by your performance system.

The required format for the exchange rate file is specified here.

Benchmark returns

Just as for portfolio files, FIA assumes that the weights and returns data supplied in benchmark files is correct and aggregates to the published benchmark return over each supplied interval.

While data of this type for unhedged benchmarks is widely available, data on hedged benchmarks is typically much harder to supply. The most common situation is that benchmark vendors publish the weights and returns of the unhedged benchmarks at the constituent level, and the overall return of the hedged benchmark. However, the details of the hedging calculation are usually opaque, and many users struggle to replicate the returns of hedged benchmarks at the constituent level.

FIA includes the capability to perform hedging calculations internally. If the BenchmarkHedge switch is set to the name of the base currency, the program will insert a set of synthetic forward instruments into the benchmark and calculate their weight so that the benchmark is hedged against movements in any but the hedge currency. Additionally, if the HedgeFile parameter is set to the name of a valid benchmark returns file, the returns of the synthetic forwards will be adjusted slightly using a proprietary algorithm to ensure that the overall return of the hedged benchmark exactly matches the published returns.

The required format for the benchmark return file is identical to that for the portfolio return file.

Inflation data

If your portfolio or benchmark contains inflation-linked securities, a set of reference inflation figures for each market must be supplied for pricing purposes.

The required format for the inflation data file is specified here.