Tracking Error

lanzani.juli
lanzani.juli
in Eikon Data APIs

I am trying to get the tracking error item ("TR.FundTrackingError1Year") taken from the data item browser over an extended period

The code below just gives me the last available value for item "TR.FundTrackingError1Year".

  1. Is there a way to obtain the time series? I think "TR.FundTrackingError1Year" is just a static value?
  2. Which formula has been used to obtain the "TR.FundTrackingError1Year", haven't been able to reproduce the results
ric = ['IVV','SPY'] # example
fields = ["TR.CUSIP", "TR.FundTrackingError1Year"]
params = {'DateType': 'XD', 'SDate' : '1993-01-01', 'EDate' : '2023-12-31'}
fund_data = rd.get_data(ric,fields, params)
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Best Answer

  • bob.lee
    bob.lee
    Answer ✓

    Hi @lanzani.juli, As @raksina.samasiri pointed out, if you need the formula or business rules, it is better to raise to the customer support. For you questions about the time-series availability, I think you mean the historical data, and that is only available on the Lipper for Investment Management (Lipper IM) desktop services at this stage. Because Lipper IM use the user's calculation parameters, including time periods settings, to calculate the results on-the-fly.

    About the formula, Lipper should be using the standard formular for Tracking Error and it uses "log returns" for the calculation by default. I got the values in Lipper IM that matches the Workspace API which is as of end of June. So, it is the latest 1-year period as of the latest month-end.

    The value I got for the IVV is 0.002869552. Using the Audit Details in Lipper IM shows me the formula that it uses monthly "excess return" (monthly total return of the fund - monthly total return of the benchmark index). Then the result is just the standard deviation (sample) for these 12 data points.

Answers

  • raksina.samasiri
    raksina.samasiri admin

    Hi @lanzani.juli ,

    Checked in Data Item Browser (DIB), the available output of this field doesn't contain 'date' and considered from the field description, the historical data of this field is not available

    1719892030368.png

    To check if the timeseries of the same data is available, as the moderators
    on this forum are expertise on Refinitiv APIs usage. However, they do not have
    deep expertise in every type of content available.
    Such expertise is available through Refinitiv Helpdesk, which can be reached
    via MyAccount and the support team is going to contact you soon to assist with this.

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

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