ELPERFORMANCEMEASURE
Summary
The ELPERFORMANCEMEASURE function retrieves performance measures based on methods like capital market assumptions. Make sure your have provided our client success team with the mapping between instruments and CMAs and the necessaty inputs like the expected returns and covariance matrix.
Examples
In these examples the risk measure that the function aims to retrieve is the value at risk (VaR).
=ELPERFORMANCEMEASURE("expected-return","positions",C11,D11,"weight","EUR", "market-assumptions","relative")
Retrieves the expected return of the positions based on their capital market assumptions.
=ELPERFORMANCEMEASURE("sharpe-ratio","portfolio",C11,D11,"weight","USD", "market-assumptions","relative")
Retrieves the Sharpe Ratio of the portfolio based on their capital market assumptions.
Syntax
ELPERFORMANCE(measure, granularity, assetIds[], amounts[], amountScheme, currency, methodType, measureType)
| Argument name | Default | Description |
|---|---|---|
| measure | The name of the measure to be returned. | |
| granularity | portfolio or positions | |
| 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 |
| currency | 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". |
| methodType (Optional) | market-assumptions | market-assumptions |
| 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. |