Excess returns in Eikon python API

reid · December 2018

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.

ronny.holzaufderheide · December 2018

Hi @574c708d-6b25-445f-8303-2b495473ec99_deprecated_6f93d9f8-9d25-487c-91bf-b3a796f48f40,

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

Wan Po.Lee · December 2018

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.

reid · December 2018

ronny.holzaufderheide

Dec 12, 2018

Hi @574c708d-6b25-445f-8303-2b495473ec99_deprecated_6f93d9f8-9d25-487c-91bf-b3a796f48f40,
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

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.

Excess returns in Eikon python API

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