Get History Beta - Get_Data Function
Hello,
I'm trying to retrieve the history for the 180D, 90D and BetaWklyAdj2Y indicadors from the TR.WACCBeta function. Currently, I've been able to set the date interval and frequency for the query. However, I have no idea how I can select the different indicators mentioned above. So far, I managed to build the following statment:
ek.get_data(stock_list,'TR.WACCBeta',{'SDate':'2020-05-22', 'EDate':'2020-05-29', 'FRQ':'D'})[0]
How can I adapt the function above to retrive the data desired?
Obs: I've tried to use the 'TR.BetaDaily180D','TR.BetaWklyAdj2Y','TR.BetaDaily90D' functions. However, they are not allowed to retrive data historically.
Hello @victor.koyama,
I use Data Item Browser to confirm what content fields are available for the instrument, and what parameters are supported.
Within Eikon desktop I run Data Item Browser and examined, for IBM.N TR.WACCBeta field:
It allows for various time intervals in the parameters, for example, quarterly
ek.get_data('IBM.N',['TR.WACCBeta'],{'SDate':0,'EDate':-4,'Frq':'FQ'}
Resulting in
( Instrument Beta 0 IBM.N 1.295649 1 IBM.N 1.336528 2 IBM.N 1.325593 3 IBM.N 1.251175 4 IBM.N 1.232000, None)
The other fields that you mention, 'TR.BetaDaily180D','TR.BetaWklyAdj2Y','TR.BetaDaily90D' do not support the same parametrization, so you can only retrieve only single, current value
So I think what you see is consistent with what is currently supported?
As I was reading the TR.WACCBeta descripton, I noticed it stated that "...various look back periods can be used to calculate it. In order of preference, Beta 5y monthly, Beta 3Y weekly,..., Beta 180D, Beta90D are used in the calcularion.". I wonder if there's a way for me to choose which methodology should be considered in the calculation.
Is that possible?
Thanks for the help!
I'm afraid not. This field is calculated by Refinitiv for use in Starmine valuation models. More specifically it is used to calculate the cost of shareholder equity according to CAPM (Capital Asset Pricing Model), which in turn is used to calculate WACC (Weighted Average Cost of Capital). Starmine uses the methodology for Beta calculation in the order of preference stated in TR.WACCBeta field description: if 5Y monthly Beta can be calculated, then 5Y monthly Beta is used. If for any reason (e.g. not enough price history for the stock) 5Y monthly Beta cannot be calculated, then we attempt to calculate and use 3Y weekly Beta, and so on.