Version 24.7.1

This version comes with several new features. We added a new granularity to the tracking-error and l2-distance computations namely the contributions to these measures. New functions are now available to compute the yields at the portfolio level and performance measures based on your capital market assumptions.

We also deprecated the asset proxy configuration within the Add-in.

If you have installed our latest add-in version.

Functions

  • ELPERFORMANCEMEASURE fetches the expected return or the Sharpe Ratio of your instruments and portfolios. It is important to share with us your capital market assumptions and covariance matrix beforehand.

  • ELASSETMEASUREPORTFOLIO aggregates yields of the asset classes in your portfolios.

Parameters

  • ELPRGMETHODOLOGY gets a new optional parameter that is the simulation flag. You can retrieve the bounds that you have set up for your production or simulation. You can retrieve the bounds you set up for your production or simulation. You test out new calibrations before moving them to production.

  • ELBENCHMARKMEASURE gets a new granularity for the tracking-error and the l2-distance that is the contributions.

Breaking changes

  • ELBENCHMARKMEASURE gets a new parameter “granularity”. It takes either “portfolio” or “contributions” as values.

  • ELASSETMEASURE has its parameters re-ordered. The function starts with the measure and then proceeds with the asset identifiers.

Deprecation

We have moved the asset proxy configuration to the Universe Portal. It is also possible to do it through APIs integration. The button in the ribbon, Asset Proxy Configuration, will highlight the steps to take to transition to the new asset proxy configuration.

Roadmap

The next features aim to enrich the scope of data by adding funds’ breakdowns (e.g. per asset class) and funds’ look-throughs (holdings’ allocations and risk contributions).

Please note that the information here is subject to change right up to release go-live time. This roadmap is not a commitment to provide any features within a certain time frame and enhancements to the product may change before release.