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ichim_raluca avatar image
13 ●6 ●8 ●9

Performance calculation between two dates

Hello,

I am trying to find out how to calculate performance between two dates (a given start date and end date) for an equity, bond and a fund. Is this something that is available under reuters ? In Bloomberg this functionality is available under COMP and it is possible to calculate the performance between two given dates.

Finally I would like to use that under AppStudio, to be able to fetch this calculation from a given start date, until up to date or until a given end date. I tried to look for some codes, I only found performance since sinception to date or to month end for funds, but this is not what I am looking for.

I apologize if this is not the right place to ask this kind of question, please direct me towards the right person.

Thank you for your help,

raluca

eikoneikon-app-studioperformance-calculation
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Zhenya Kovalyov avatar image Zhenya Kovalyov

are you looking just for price performance or the total return?

pimchaya.wongrukun01 avatar image   pimchaya.wongrukun01

Hello @ichim_raluca

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query? If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

AHS

3 Answers

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Zhenya Kovalyov avatar image
4.6k ●26 ●7 ●22

For equities it is pretty straight forward when you use the DataGrid API. Here is the sample JSON request:

{  
   "instruments":[  
      "IBM"
   ],
   "fields":[  
      {  
         "name":"TR.TotalReturn(SDate=20160501,EDate=0D)"
      }
   ]
}

If the funds are exchange traded, you can use the same routine.

For funds, you can request TR.FundRollingPerformance setting a desired interval and a timeframe with a request like this:

{
     "instruments":[
        "LP40056089"
   ],
   "fields":[
        {
           "name":"TR.FundRollingPerformance"
      }
   ],
   "parameters":
{
        "RollTimeFrame":"5Y",
      "Interval":"Auto"
   }
}

For bonds you can build a price return (without coupon reinvestment) pretty easily either using the Time series API or a combination of Data Grid API calls (price on date 1 - price on date 2).

There are reference data fields that present some kind of analytics, like TR.EOMTotalReturn, however, this will only give you the return since the end of the prior month, with TR.FiPrevTotalReturn giving you the previous value.

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ichim_raluca avatar image ichim_raluca

Hi Zhenya,

Yes, sure. The following returned null, when i used

"TR.TotalReturn";"SDate=20160317 EDate=20160930"

LP65110521 NULL LP68135511 NULL LP68092475 NULL LP68059224 NULL LP68340327 NULL LP65022200 NULL LP68035243 NULL LP60023017 NULL LP68209264 NULL LP65010724 NULL LP60006144 NULL LP65037543 NULL

Thanks,

Raluca

Upvotes
ichim_raluca avatar image
13 ●6 ●8 ●9

Hi Zhenya,

Thank you for your quick reply. Yes, I was looking for the TR, sorry for not being explicit enough.

the first calculation seems to be working for equity.

For funds, if I use the first calculation, i will not get results for some of the ISINs. This means probably that they are not exchange traded ? In this case, I have to use the second calculation, as an alternative, if I understood right?

with the second caculation, if I use TR.FundRollingPerformance, is it still possible to have two dates as the time frame , like a start date and an end date? I am not interested in the performance since inception, or over 5 years, I would like to be able to specify the start and end date. Is this something possible?

Let me know please if you need more clarification.

Thank you again for your help.

Raluca

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Zhenya Kovalyov avatar image Zhenya Kovalyov

Could you give a sample ISIN that yields no results please?

Upvotes
ichim_raluca avatar image
13 ●6 ●8 ●9

Hi Zhenya,

Not sure if you got my last answer regading the ISINs that returned null ?

Yes, sure. The following returned null, when i used

"TR.TotalReturn";"SDate=20160317 EDate=20160930"

LP65110521 NULL LP68135511 NULL LP68092475 NULL LP68059224 NULL LP68340327 NULL LP65022200 NULL LP68035243 NULL LP60023017 NULL LP68209264 NULL LP65010724 NULL LP60006144 NULL LP65037543 NULL

Thank you,

Raluca

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Zhenya Kovalyov avatar image Zhenya Kovalyov

@ichim_raluca apologies for the late reply. LP65110521 is not an ISIN but a standard Lipper fund identifier, therefore, the tools that are available for equities will not work.The only thing that I think you can get is TR.FundRollingPerformance.

However, I would strongly recommend contacting your local Thomson Reuters Support desk and addressing this question to them as well.

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