Correlation indicator between a Mutual Fund and an index (e.g S&P500)

vanderkroon
vanderkroon
in Refinitiv Data Platform

I am looking for a variable indicating the correlation of Mutual Funds prices with an index, e.g. S&P500. Does such a variable exist, if so what is its name and where do I find it?

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  • bob.lee
    bob.lee
    Answer ✓

    @vanderkroon , There are 2 measurements available in RDP Funds API you may check: Tracking Error and Correlation (both under "cumulativeCalcs" property. However, the calculation should be based on the fund's official benchmark or "Technical Indicator" benchmark.

    I suggest you calculate the correction coefficient directly using the rolling performance data from the API. It will be much more flexible on both the currency and period settings.

Answers

  • raksina.samasiri
    raksina.samasiri admin

    Hi @vanderkroon ,

    Thank you for posting the question in this forum. However, this forum is dedicated to an API usage question hence, the moderators on this forum do not have deep expertise in every type of content available through Refinitiv products. Such expertise is available through Refinitiv Helpdesk, which can be reached via MyRefinitiv. To be of help, ticket number 11923679 was raised on your behalf and the support team is going to contact you directly to assist with this.

    Hope this helps and please let me know in case you have any further questions.

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