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Extract historical Lipper fund performance data
I'm trying to extract monthly performance data for a list of Belgian Lipper funds. However, the result I obtain only shows the most recent year-to-date performance. My API request (in R, so forgive me for the slight difference in syntax with the Python syntax) for a single specific Lipper fund (LP60022034) is the following:
lipper_data<-get_data(list(LP60022034),list('TR.FundRollingPerformance.date','TR.FundRollingPerformance'), list("SDate"="-1Y","EDate"="0D"))
However, when I run the API through the excel-instrument builder, I successfully obtain what I am searching for:
=TR("LP60022034";"TR.FundRollingPerformance(Interval=M RollTimeFrame=1Y);TR.FundRollingPerformance(RollTimeFrame=1Y Interval=M).date";"CH=Fd RH=IN";B2)
Could you help me point out my error in my formula? An answer in Python syntax will do just fine, I can then translate to R.
FYI: I have no problem obtaining historical net asset value data through the very same type of R-code chunk listed above.
Many thanks in advance
Hi @koen.breemersch, Try passing in the parameters as an object:
>>> df, err = ek.get_data('LP60022034', ['TR.FundRollingPerformance.date','TR.FundRollingPerformance'], parameters={'Interval': 'M', 'RollTimeFrame': '1Y'} )
>>> df
Instrument Date Rolling Performance
0 LP60022034 2019-12-06T00:00:00Z 0.989131
1 LP60022034 2020-01-03T00:00:00Z 2.237115
2 LP60022034 2020-02-07T00:00:00Z 5.804150
3 LP60022034 2020-03-06T00:00:00Z -9.107577
4 LP60022034 2020-04-03T00:00:00Z -12.932246
5 LP60022034 2020-05-08T00:00:00Z 7.998068
6 LP60022034 2020-06-05T00:00:00Z 8.700028
7 LP60022034 2020-07-03T00:00:00Z -2.843592
8 LP60022034 2020-08-07T00:00:00Z -3.635662
9 LP60022034 2020-09-04T00:00:00Z 0.568728
10 LP60022034 2020-10-02T00:00:00Z 3.015731
11 LP60022034 2020-11-06T00:00:00Z -4.347196