Excess returns in Eikon python API
Hi -
I'm looking to compute some notion of excess returns (either the return experienced relative to holding cash or alternatively, the return of an unfunded equity position so total return - a borrowing cost - either one would do for now although at some point it would be good to differentiate). As a cut through I wanted to pull in a short-term cash rate (for instance Fed funds overnight rate or some such similar - was looking at USRRP=ECI field ECONOMIC.Value), but it looks like the codes I am finding in the Eikon data browser aren't pulling through in the API. Is there anything in-scope of the current API that would accomplish this goal, or some other creative way to compute an excess return?
Thanks.
Best Answer
-
574c708d-6b25-445f-8303-2b495473ec99,
df = ek.get_timeseries('USRRP=ECI')
should deliver the required output. This is what I get for df.tail(5)
USRRP=ECI VALUE
Date
2018-12-03 2.0
2018-12-04 2.0
2018-12-06 2.0
2018-12-07 2.0
2018-12-10 2.0
0
Answers
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Hello, this may not be a complete answer to your question, but for the short-term US Fed O/N REPO rate (as a benchmark or borrowing cost) you wanted to obtain should be available in Eikon API. As of now the Actual (N/A) rate is 2.00%, and I can see this value “2” from the Python API call:
import eikon as ek
ek.set_app_key('xxxxxxxxxx')
res = ek.get_data(['USRRP=ECI'], ['ECON_ACT'])
print(res)I got:
( Instrument ECON_ACT
0 USRRP=ECI 2, None)I believe once you got your benchmark return, you can derive the excessive returns easily.
1 -
Thanks (and also to @Wan Po.Lee for the answer w get_data - looks like I had pulled the wrong field name from my XL browser). Seems like computing myself is the best way forward so will go that route. Cheers.
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