ewrPerformanceMeasure
Summary
The ewrPerformanceMeasure function retrieves performance-related measures like the expected returns or the Sharpe ratio.
Examples
=ewrPerformanceMeasure("expected-return", "market-assumptions", "positions",C11, 1, "USD"", "relative")
Retrieves the expected returns of an instrument whose identifier is located in C11 .
=ewrPerformanceMeasure("sharpe-ratio", "market-assumptions", "positions",C11:C50, D11:D50, "USD"", "relative")
Retrieves the Sharpe ratio for each instrument in the range C11:C50.
=ewrPerformanceMeasure("sharpe-ratio", "market-assumptions", "portfolio",C11:C50, D11:D50, "USD"", "relative")
Retrieves the Sharpe ratio for the portfolio defined in C11:C50 in D11:D50.
Syntax
ewrPerformanceMeasure(Measure, MethodType, CalculationsLevel,AssetIDs[], weights[], Currency, MeasureType)
| Argument name | Default | Description |
|---|---|---|
| Measure | The name of the measure to be returned. | |
| MethodType (Optional) | market-assumptions | The capital market assumptions. |
| CalculationsLevel | The granularity at which the results should be calculated (individual asset, portfolio). | |
| AssetIDs | Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID). | |
| Weights | Asset weights in the same orders as the specified asset ids and must sum up to 100%. | |
| Currency (Optional) | local | 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". |
| 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. |