elExPostMeasure
Summary
The elExPostMeasure function retrieves the ex-post measure.
Examples
=elExPostMeasure("volatility","portfolio",{"US0378331005", "CH0244767585", "US67066G1040"},{10,10,20},"USD","2023-01-01","2025-01-01","none","relative",TRUE)
Retrieves the volatility for the given portfolio from 2023 until 2025.
=elExPostMeasure("volatility","portfolio",A1,A2,"USD","2023-01-01")
Retrieves the metric for the identifier in a cell.
Syntax
elExPostMeasure(measure, granularity, assetIds[], quantities[], currency, startDate, endDate, rebalancingFrequency, measureType, annualized)
| Argument name | Default | Description |
|---|---|---|
| measure | The measure to compute (Allowed values: performance, volatility, max-drawdown , sharpe-ratio, time-to-recovery, historical-var-monthly-95, time-under-water) | |
| granularity | The granularity at which the results should be calculated (individual asset, portfolio). | |
| assetIds | Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID). | |
| quantities (Optional) | 1 | Asset quantities |
| currency | The ISO code of the reference currency for deriving the calculation results. Specify "local" to use the instruments native currency where appropriate. It is mandatory to specify a currency when the granularity is "portfolio". | |
| startDate | Start of the measure period (Format: YYYY-MM-DD). | |
| endDate (Optional) | Current date | End of the measure period (Format: YYYY-MM-DD). |
| rebalancingFrequency (Optional) | none | The rebalancing frequency of the portfolio (Allowed values: none, monthly, quarterly, annually) |
| measureType (Optional) | relative | Whether the result should be normalized. The input should be "relative" or "absolute". "True" or "False" are still supported for the moment. |
| annualized (Optional) | FALSE | Whether the result should be expressed as an annualized figure. True or False. |