monthly returns

Optuma Scripting
1

Hi

how can I calculate in a watchlist the monthly returns for an asset?

For example Jun return, July return, etc…

2

Hi Lorenzo,

You can use the MONTHNUM function for each month, so for June use the following which calculates the difference between the close of June (M1) and May (M2):

M1 = MONTHNUM() == 6 and YEARNUM() == 2020;
M2 = MONTHNUM() == 5 and YEARNUM() == 2020;
V1 = VALUEWHEN(M1);
V2 = VALUEWHEN(M2);
((V1/V2)-1)

It’s the same process as for this example for quarterly performance.