liangfeng

You are an American with a holding in Japan that moved up in value from 100 to 125 JPY and at the same time the Japanese currency depreciated by 10%. (100 JPY/USD to 110 JPY/USD)

State what are the:

Total Return
Local Return
Return segmented by capital gains, currency and yield.

Total return: R=(125/100)*[(1/110)/(1/100)]-1=1.136-1=13.6%
Local return=125/100-1=25%

R(cg)=25%
R(currency)=13.6%-25%=-11.4%
R(yield)=0