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Hello,
Is something like Price Returns available as TR formula in Eikon? I know Total Return takes dividends into account but I couldn't find anything in the Item Data Browser regarding to Price Returns.
Does anyone here knows if something like this is available? Thanks for your time!
@22ca8780-99e4-42fa-9ca2-b27abad3c0c4 all the price performance fields can be found under Price & Volume > Price Performance as shown here:
screenshot-2018-10-10-at-125450.png
The easiest way to build a price return is to see percent change between two dates:
=TR("AAPL.O","PERCENT_CHG(TR.Close(0d),TR.Close(2018-01-01))")
Or use one of the standard period fields, like TR.PricePctChgYTD
Thanks @Zhenya Kovalyov!
I wanted to implement this in Python but didn't find this on the Item Data Browser. Is there a way to implement this and get a time-series?
I saw TR.PricePctChg1D but is a snapshot, not a time-series.
If you're looking to get timeseries of price returns in Python I think the easiest thing you can do is retrieve the timeseries of price history and calculate any returns you need using dataframe capabilities. E.g.
>>> df, err = ek.get_data('TRI.N',['TR.PriceClose.date','TR.PriceClose'],{'SDate':'-20D','EDate':'0'})
>>> df['Pct Chg'] = df['Price Close'].pct_change()
>>> df
Instrument Date Price Close Pct Chg
0 TRI.N 2018-09-11T00:00:00Z 44.57 NaN
1 TRI.N 2018-09-12T00:00:00Z 45.22 0.014584
2 TRI.N 2018-09-13T00:00:00Z 45.64 0.009288
3 TRI.N 2018-09-14T00:00:00Z 45.52 -0.002629
4 TRI.N 2018-09-17T00:00:00Z 45.51 -0.000220
5 TRI.N 2018-09-18T00:00:00Z 45.62 0.002417
6 TRI.N 2018-09-19T00:00:00Z 45.40 -0.004822
7 TRI.N 2018-09-20T00:00:00Z 45.51 0.002423
8 TRI.N 2018-09-21T00:00:00Z 45.37 -0.003076
9 TRI.N 2018-09-24T00:00:00Z 45.44 0.001543
10 TRI.N 2018-09-25T00:00:00Z 45.70 0.005722
11 TRI.N 2018-09-26T00:00:00Z 45.45 -0.005470
12 TRI.N 2018-09-27T00:00:00Z 45.72 0.005941
13 TRI.N 2018-09-28T00:00:00Z 45.68 -0.000875
14 TRI.N 2018-10-01T00:00:00Z 45.33 -0.007662
15 TRI.N 2018-10-02T00:00:00Z 44.74 -0.013016
16 TRI.N 2018-10-03T00:00:00Z 47.24 0.055878
17 TRI.N 2018-10-04T00:00:00Z 46.74 -0.010584
18 TRI.N 2018-10-05T00:00:00Z 46.69 -0.001070
19 TRI.N 2018-10-08T00:00:00Z 46.36 -0.007068
20 TRI.N 2018-10-09T00:00:00Z 46.33 -0.000647
