PgpmPercentileRet
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Function Description
Returns the return corresponding to a given percentile
(quantile) in a specified (pre-loaded) peer group performance dataset, i.e. the
volatility of relative returns.
Note: The input period start/ends need to be consecutive,
e.g. if there are two periods with the first one from 1 Jan 2000 to 31 Dec 2000
and the second from 1 Jan 2001 to 31 Dec 2001 then these should be passed as an
array with three entries, 31 Dec 1999, 31 Dec 2000 and 31 Dec 2001 in that
order. The sizes/format of the arrays passed as parameters for this web
function as specified below assume that the number of Funds is 
and the
number of consecutive periods is 
. Return data should be
passed with the consecutive returns for the same fund in a single block, i.e.
all of the first fund’s returns, followed by all of the second fund’s returns
etc. If a fund does not have a return for a given period (e.g. the fund did not
exist for the whole of the period) then use for that fund for that period the ReturnInvalidCode.
When calculating per group level statistics, e.g. percentiles and median, funds
that did not have a return for a given period are excluded.
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Output type / Parameter details
Output type: Double
| Parameter Name | Variable Type | Description |
| FundNames | String() | Names of funds in peer group (m terms) |
| PeriodStartEnds | Date() | Array containing (in sequential order) start and end dates (n+1 terms) |
| Returns | Double() | Array containing returns (m x n terms) |
| ReturnInvalidCode | Double | Value that if appears in Returns indicates return for that fund and period doesn't exist |
| StartDate | Date | Start of period over which return to be computed |
| EndDate | Date | End of period over which return to be computed |
| x | Double | Percentile (quantile) we are interested in (between 0 and 1) |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Performance measurement functions
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Computation units used
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