Hi,
Why are all series from getLyxorBBs between 0 and 100?
Are Building Blocks different from price series?
Thanks!
Hi,
Building blocks (or BBs) are different from price series as quoted on the market. Building blocks are prices series that have been adjusted for discrete events that distort prices, such as dividend payments, share splits or contract rolls. Such events make return computations wrong, and consequently, backtesting results unreliable. To correct for this, we create building blocks; we ask users to always use building blocks to build their strategies. Building blocks are constructed based on adjusted returns, which means they can basically be initialised at any value. Initialising them at 100 is convenient as you can see the return over a chosen period in one glance. Using an example, all building blocks returned by getLyxorBBs() have been initialised at 100 at the beginning of 2007.
If I run:
> last(getLyxorBBs(‘MEUDa’, asPrice=T))
It returns:
MEUDa
2017-12-29 143.4636
I know directly that the MEUDa BB has returned 43.4636% over the period 2007 to 2017-12-29
Similarly, if I want to know the return at the end of 2012, I can do:
> getLyxorBBs(‘MEUDa’, asPrice=T)[‘2012-12-31’]
It returns:
MEUDa
2012-12-31 91.8651
I know the return from 2007 to end of 2012 is -8.1349%