TR.FundRollingPerformance for Calendar Year Returns
I can use the field TR.FundRollingPerformance to get fund returns since inception, by year etc.
However, if I used the parameters: TR.FundRollingPerformance(RollTimeFrame=10Y Interval=Y)
The result I get are 1-year periods, ending at month-end of the previous month.
(I.e. if I pull the data in June, I get a series of yearly values, for years ending May 31st.
I am trying to get the annual results for calendar years. Are there any parameters that can be used with this field in order to get this?
Given how the data will ultimately be used, the idea solution would be single formula returning a single value (for a year). Something like:
TR.FundRollingPerformance(RollTimeFrame=2018 Interval=Y)
Is there any way to do this? The only working solution I have seen is to pull a table of the monthly returns, then sum all of them for a specific year. That approach won't work in this case.
Best Answer
-
@peter.vonbredow0 So I would get the monthly data going back as far as possible then use the pandas groupby year and sum function:
df, err = ek.get_data('VOT',['TR.FundRollingPerformance(RollTimeFrame=SI,Interval=M).date','TR.FundRollingPerformance(RollTimeFrame=SI,Interval=M)'])
df['Date'] = pd.to_datetime(df['Date'])
df1 = df.groupby(df.Date.dt.year).sum()
df1I hope this can help.
0
Answers
-
@peter.vonbredow0 and @jason.ramchandani, I would like to point out that aggregating monthly returns to year returns is NOT adding (sum) the performances 12 months' return figures. The correct term we should use is "annualise" the monthly returns. It should be the product of the monthly returns in factor form. e.g. if all the 12 months' monthly return is 1%, the yearly return is about 12.6825% not 12.0%
BTW, I do not find a way to directly get the calendar year returns in the Eikon API.
0
Categories
- All Categories
- 6 AHS
- 39 Alpha
- 161 App Studio
- 4 Block Chain
- 4 Bot Platform
- 16 Connected Risk APIs
- 47 Data Fusion
- 30 Data Model Discovery
- 608 Datastream
- 1.3K DSS
- 577 Eikon COM
- 4.9K Eikon Data APIs
- 7 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- Trading API
- 2.7K Elektron
- 1.3K EMA
- 236 ETA
- 519 WebSocket API
- 33 FX Venues
- 10 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 20 Messenger Bot
- 2 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 59 Open Calais
- 264 Open PermID
- 39 Entity Search
- 2 Org ID
- PAM
- PAM - Logging
- 8.4K Private Comments
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 20 RDMS
- 1.4K Refinitiv Data Platform
- 367 Refinitiv Data Platform Libraries
- 3 Refinitiv Due Diligence
- LSEG Due Diligence Portal API
- 3 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.1K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 10 World-Check Customer Risk Screener
- 990 World-Check One
- 44 World-Check One Zero Footprint
- 45 Side by Side Integration API
- Test Space
- 3 Thomson One Smart
- 1.2K TR Internal
- Global Hackathon 2015
- 2 Specialists Who Code
- 10 TR Knowledge Graph
- 150 Transactions
- 142 REDI API
- 1.7K TREP APIs
- 4 CAT
- 21 DACS Station
- 117 Open DACS
- 1.1K RFA
- 103 UPA
- 172 TREP Infrastructure
- 224 TRKD
- 886 TRTH
- 5 Velocity Analytics
- 5 Wealth Management Web Services
- 60 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛