Excess returns in Eikon python API

reid
reid Explorer
in Eikon Data APIs

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.

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  • Wan Po.Lee
    Wan Po.Lee LSEG

    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
    reid Explorer
    https://community.developers.refinitiv.com/discussion/comment/35919#Comment_35919

    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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