For a deeper look into our Eikon Data API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
0 1 1 3

Time-series Total Return for Index (benchmark) eg .FTLC

Hi, using TR.TotalReturn to get the monthly time series of returns for an index doesn't work e.g. df, e = ek.get_data(['.FTLC'],['TR.TotalReturn.date','TR.TotalReturn'],parameters={'SDate':'0M','EDate':'-59M','Frq':'M','CH':'Fd'}). Can you please confirm what I should be using?

eikoneikon-data-apipythonworkspaceworkspace-data-apirefinitiv-dataplatform-eikondatatime-seriesindex
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvote
Accepted
39.3k 76 11 27

Total return for indices is not available through Eikon Data APIs. However you can get it using Datastream Web Service.

import DatastreamDSWS as dsws
ds = dsws.Datastream(username='XXXXXXX', password='XXXXXXX')
df = ds.get_data(tickers='<.FTLC>', 
                 fields=['RI'], start='-5Y', end='-0M', freq='M')
df['Total Return'] = df.pct_change()
df
If you don't have credentials for Datastream Web Service (Datastream Child ID and password), contact your Refinitiv account team.
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvote
339 3 4 6

@mohammed_sabur, I think you need to clarify what you meant by “total return” first. The RIC: “.FTLC” itself is a capital return index (CR) as the index do not include the distributions from the underlying assets (constituents). There is a total return (TR) version of the same index and its RIC is “.TRINMX”. You can check the return from the TR version is always higher than or equal to the CR version because the distributions of the underlying assets are reinvested in the TR version.

Since index itself never pays dividends, there is only one “return” you can derive from the index value itself. The return of an index is simply:

(Current index value / Previous index value) – 1

You should able to calculate that from the index time-series directly. Typically the historical value of an index can be obtained by TR.CLOSEPRICE field. You should set the “Adjusted” flag to 1 so the historical data is adjusted in case there is a split or merge event (re-base of the index), but that is very rare for indices.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
0 1 1 3

Thanks. Both answers help.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.