ELBENCHMARKMEASURE
Summary
The ELBENCHMARKMEASURE function allows retrieving benchmark measures. Currently, the tracking-error, beta, l2-distance and correlation are available. The benchmark can be composed of one position (e.g. an Index) or multiple ones (e.g. a portfolio benchmark). You can specify the amounts in weights or quantities. Bear in mind that if the amount scheme "weight" is selected, the sum of the weights must be equal to 1.
Examples
=ELBENCHMARKMEASURE("tracking-error", "portfolio", C11:C20, B11:B20, "weight", D9, 1, "weight", "CHF", 10, "historicalInnovations")
This function retrieves the tracking error of a portfolio whose assets are in C11:C20 and weights in B11:B20. The benchmark is one position in D9 and could be an Index for example. The amount scheme for the benchmark is "weight" but it could have been "quantity". The amount is 1 as the benchmark is one position. Then you have the portfolio currency ("CHF" in this example), the time horizon (10 days), and finally the scenario type "historicalInnovation".
=ELBENCHMARKMEASURE("tracking-error", "contributions", C11:C20, B11:B20, "quantity", D9:D18, E9:E18, "weight", "CHF", 10, "historicalInnovations")
This function retrieves the contributions of the positions to the tracking error between a portfolio and a benchmark. The benchmark is a portfolio whose instruments are in D9:D18. The amount scheme for the benchmark is "weight". In E9:E18, the weights must sum up to 1. Then, you have the portfolio currency ("CHF" in this example), the time horizon (10 days), and finally the scenario type "historicalInnovation".
=ELBENCHMARKMEASURE("correlation", "portfolio", C11:C20, B11:B20, "quantity", D9:D18, F9:F18, "quantity", "CHF", 10, "historicalInnovations")
This function retrieves the correlation of a portfolio whose assets are in C11:C20 and quantities in B11:B20. The benchmark is a portfolio whose instruments are in D9:D18. The amount scheme for the benchmark is "quantity". F9:F18 represents the quantities. Then, you have the portfolio currency ("CHF" in this example), the time horizon (10 days), and finally the scenario type "historicalInnovation".
Syntax
ELBENCHMARKMEASURE(measure, granularity, assetIds[], amounts[], amountScheme, benchmarkAssetids[], benchmarkAmounts[], benchmarkAmountScheme, currency, riskHorizon, scenarioType, annualized, scalingHorizon, liquidityAdjusted)
| Argument name | Default | Description |
|---|---|---|
| measure | The name of the measure to be returned. | |
| granularity | portfolio or contributions (only works for tracking-error and l2-distance) | |
| assetIds | Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID). | |
| amounts | 1 (for quantitites) | quantities or weights of the assets. Weights must sum up to 100%. |
| amountScheme (Optional) | quantity | quantity or weight |
| benchmarkAssetids | Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID). | |
| benchmarkAmounts | 1 (for quantitites) | quantities or weights of the assets. Weights must sum up to 100%. |
| benchmarkAmountScheme (Optional) | quantity | quantity or weight |
| 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". | |
| riskHorizon (Optional) | 10 | The time interval over which the risks are estimated (i.e. between now and now + risk-horizon). |
| scenarioType (Optional) | historicalInnovations | How the possible scenarios for the asset prices are computed. |
| annualized (Optional) | FALSE | Whether the result should be expressed as an annualized figure. True or False. |
| scalingHorizon (Optional) | RiskHorizon | If used, the value should be >=1. The value is used as a factorization that will be multiplied by the time horizon such that the risk horizon can be something different than the default choices. For instance, when using this parameter, risk measures with risk horizon of 20 or 60 days can be queried. |
| liquidityAdjusted (Optional) | FALSE | If true, then risk computations will account for the liquidity risk. |