Weekly returns

Optuma Scripting
1

Hi

what is the best way to calculate weekly returns?

I am tried with

PERFORMANCE(PERIOD=week, PERIODAMT=1) / 100

but results do not seem to be correct.

2

Actually, let me put the question differently. I am new to the model

I have searched for a formula to calculate weekly returns

I have ended up on these 2 alternative ones

((CLOSE() - CLOSE(WEEK(), OFFSET =1))/CLOSE(WEEK(),OFFSET=1) )

and

PERFORMANCE(PERIOD=week, PERIODAMT=1) / 100

 

I see that for last week there is a difference in the calculated return for US indices

I assume it is because market was closed on friday and maybe they use different conventions

can you help me to understand better?

 

3

Hi Lorenzo,

You can use either the PERFORMANCE() or CHANGE() function set to 1 week which calculates on a rolling basis (ie Monday’s close to the previous Monday’s close). As Friday was a holiday in the US it will show Thursday June 25th to July 2nd. To calculate the performance from the previous week’s close either change the watchlist timeframe to 1 Week and the Change % column will update to weekly data, or use the Rate of Change function set to Week:

ROC(Week(PERIODAMOUNT=1), BARS=1)/100

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