For tickerized portfolios in
PRTU, I want to extract Sharpe ratios and historic volatilities per annum or for 1, 3, 5 years from Bloomberg. So far, I have been using BBG V3COM API wrapper to extract historical prices and performances for my portfolios. Now I want to add risk measures and implement these into my existing automated procedures.
What's the best approach to get the risk measures I mentioned above?
I was thinking to calculate them myself based on the time series of the prices (seems a lot of work) or maybe get them out of BBG directly? Ideally, I'd like to use the wrapper, as the built-in excel function
=BDH() is impractical to incorporate into macros, as discussed in one of my previous posts. Any pointers appreciated!