MSCI Exchange Rates
At Zephyr, we consistently receive questions on where the data in our program comes from. The answer is that we receive our data straight from the vendors. However when it comes to the exchange rates, the answer may not be so clear.
The exchange rates come from MSCI, and below is a detailed summary of this information:
• Until December 30th, 1993, MSCI used the exchange rates taken from the Reuters multi contributor pages at 4:00 p.m. CET.
• Since December 31st, 1993, MSCI has been using the WM/Reuters Closing Spot Rates, taken at 4:00 p.m. London time, for all the countries for which it provides indices, except for the Latin American countries. At the time, MSCI established a special foreign exchange policy for Latin American countries in view of the risks of important movement of currencies in some of these markets between the 4:00 p.m. London closing and the close of the respective Latin American markets.
• Starting July 26th, 2000, MSCI began to use the WM/Reuters Closing Spot Rates for all the countries it provides indices to including Latin American countries.
If you would like more information, MSCI provides their methodology here
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