Summary

The elPerformanceMeasure function retrieves performance-related measures like the expected returns or the Sharpe ratio.

Examples

=elPerformanceMeasure("expected-return", "market-assumptions", "positions",C11, 1, "USD"", "relative")

Retrieves the expected returns of an instrument whose identifier is located in C11 .

=elPerformanceMeasure("sharpe-ratio", "market-assumptions", "positions",C11:C50, D11:D50, "USD"", "relative")

Retrieves the Sharpe ratio for each instrument in the range C11:C50.

=elPerformanceMeasure("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

elPerformanceMeasure(Measure, MethodType, CalculationsLevel,AssetIDs[], Quantities[], Currency, MeasureType)
Argument name Default Description
Measure    
MethodType   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).
Quantities (Optional) 1 Asset quantities in the same orders as the specified asset ids.
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.