APIで取得するデータ定義の確認

suematsu_yuki

平素より大変お世話になっております。

Refinitiv Lipper Funds APIを利用してデータを取得させて頂いているのですが、下記内容についてご回答お願いできますでしょうか。

お手数おかけしますが、よろしくお願いします。

・騰落率（1・3年）

・シャープレシオ（1・3年）

について、期限（始点～終点）の基準となる営業日（終点）は正確にはいつか？

・騰落率（1・3年）

・シャープレシオ（1・3年）

について、期間は営業日数ベースではなくカレンダーベースという理解で良いか？

・騰落率（1・3年）

・シャープレシオ（1・3年）

について、土日祝日と重なった場合、国内投信の期間の始点・終点は前ずれするのか後ずれするのか？

・騰落率（1・3年）

・シャープレシオ（1・3年）

について、ファンド休業日・土日祝日と重なった場合、外国投信の期間の始点・終点は前ずれするのか後ずれするのか？

・騰落率設定来

・純資産総額

について、基準としている営業日は前々営業日か？

・騰落率設定来

・純資産総額

について、土日祝やファンド休業日等があった場合に、基準日はどのようにずれるか？

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Accepted answers

bob.lee

Hi @suematsu_yuki , I am afraid I do not understand Japanese, so I only can try to use Google translate to understand the questions. As @raksina.samasiri stated, you should raise support ticket for this for our Japanese support team to help you. Below are just my initial responses. I assume the translated term "Rate of decline" is just the "performance" or "return" of the funds.

Q1
・Rate of decline (1-3 years)
- Sharpe ratio (1-3 years)
When exactly is the business day (end point) that is the basis for the deadline (start point to end point)?
 Q2
・Rate of decline (1-3 years)
- Sharpe ratio (1-3 years)
Is it correct to understand that the period is calendar-based rather than business-day-based?
 Q3
・Rate of decline (1-3 years)
- Sharpe ratio (1-3 years)
Regarding, if the period overlaps with Saturdays, Sundays, and holidays, will the start and end points of the domestic investment trust period be shifted forward or backward?
 Q4
・Rate of decline (1-3 years)
- Sharpe ratio (1-3 years)
As for the question, if the fund is closed on Saturdays, Sundays, and holidays, will the start and end points of the period of foreign investment trusts be shifted forward or backward?
 Q5
・Since the rise and fall rate has been set
・Total net assets
Is the standard business day two business days before?
Q6
・Since the rise and fall rate has been set
・Total net assets
How will the reference date shift if there are Saturdays, Sundays, holidays, fund holidays, etc.?
 
 
A1: The API provides 1Y and 3Y performance returns in different date alignments. So you can get the month-end aligned data using the code PERF_1YMEJ for 1Y period and PERF_3YMEJ for 3Y period.   You can also use the code PERF_1YTDJ and PERF_3YTDJ for daily aligned 1Y and 3Y returns.   However, for Sharpe-ratio, only monthly aligned data is available, no daily aligned.  All of them are in the “cumulativeCalcs” property. 
 
A2: Yes, the dates are all based on calendar dates.
 
A3: No, the date will not be shifted due to weekends or holidays.  Since weekends and holidays will not have performance data, it will not affect the results.
 
A4: Same as the answer as A3, weekends and holidays will not affect the start/end dates of the periods nor affect the calculation results.
 
A5: Prices and returns have daily data, but fund size (TNA/AUM) currently only have monthly data in the API.  We do have plan to add the daily TNA data to the API this year.
 
A6: The reference date will not “shift”, the data as of date are just the latest data as that date.   For example, 2022-12-31 is a Saturday.   The data as of that date (2022-12-31) will be just the data on the previous date (2022-12-30, Friday).  This applies to all data such as price, performances and fund size (TNA).

All comments

raksina.samasiri

Hi @suematsu_yuki ,

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 12390919 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.

bob.lee

Q1
・Rate of decline (1-3 years)
- Sharpe ratio (1-3 years)
When exactly is the business day (end point) that is the basis for the deadline (start point to end point)?
 Q2
・Rate of decline (1-3 years)
- Sharpe ratio (1-3 years)
Is it correct to understand that the period is calendar-based rather than business-day-based?
 Q3
・Rate of decline (1-3 years)
- Sharpe ratio (1-3 years)
Regarding, if the period overlaps with Saturdays, Sundays, and holidays, will the start and end points of the domestic investment trust period be shifted forward or backward?
 Q4
・Rate of decline (1-3 years)
- Sharpe ratio (1-3 years)
As for the question, if the fund is closed on Saturdays, Sundays, and holidays, will the start and end points of the period of foreign investment trusts be shifted forward or backward?
 Q5
・Since the rise and fall rate has been set
・Total net assets
Is the standard business day two business days before?
Q6
・Since the rise and fall rate has been set
・Total net assets
How will the reference date shift if there are Saturdays, Sundays, holidays, fund holidays, etc.?
 
 
A1: The API provides 1Y and 3Y performance returns in different date alignments. So you can get the month-end aligned data using the code PERF_1YMEJ for 1Y period and PERF_3YMEJ for 3Y period.   You can also use the code PERF_1YTDJ and PERF_3YTDJ for daily aligned 1Y and 3Y returns.   However, for Sharpe-ratio, only monthly aligned data is available, no daily aligned.  All of them are in the “cumulativeCalcs” property. 
 
A2: Yes, the dates are all based on calendar dates.
 
A3: No, the date will not be shifted due to weekends or holidays.  Since weekends and holidays will not have performance data, it will not affect the results.
 
A4: Same as the answer as A3, weekends and holidays will not affect the start/end dates of the periods nor affect the calculation results.
 
A5: Prices and returns have daily data, but fund size (TNA/AUM) currently only have monthly data in the API.  We do have plan to add the daily TNA data to the API this year.
 
A6: The reference date will not “shift”, the data as of date are just the latest data as that date.   For example, 2022-12-31 is a Saturday.   The data as of that date (2022-12-31) will be just the data on the previous date (2022-12-30, Friday).  This applies to all data such as price, performances and fund size (TNA).

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