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Benchmark

The analysis of an investment portfolio would be incomplete without a reference point, something that allows the investor to compare a portfolio with the market as a whole or with specific market references.

That is where benchmarks become very valuable: they allow investors to measure their performance against a benchmark widely accepted by the market.

Gorila offers a wide variety of benchmarks, from both the Brazilian market and abroad. This variety also extends to the types of benchmarks available, which cover fixed income, equity indexes, inflation and currencies.

Modifiers​

It is possible to apply modifiers to the benchmark, allowing analyses such as "IPCA + 3%" or "120% of CDI". To do so, use the spread parameter to get "Benchmark + [spread]" or the multiplier parameter to get a percentage of the benchmark ("[multiplier] × Benchmark"). Both values are provided in decimal format: "IPCA + 3%" corresponds to spread=0.03, and "120% of CDI" corresponds to multiplier=1.2.

Calculation method (calculationMethod)​

It is also possible to choose how benchmarks are calculated. Especially in Brazil, some prefer to see fixed income benchmarks (such as CDI and SELIC) earning returns only from the first day onward, to reflect the dynamics of an investment in a bond that yields overnight. On the other hand, some prefer to account for the cost of capital already on the first day.

Both approaches are valid, and the calculationMethod parameter lets you choose between them:

  • calculationMethod = INDEX (default): accounts for returns from the first day (startDate) for all benchmarks.
  • calculationMethod = INTEREST: does not account for the return of the first day (the startDate day) for any benchmark.
  • calculationMethod = AUTO: uses a mixed default that depends on the benchmark type. For fixed income benchmarks (such as CDI and SELIC), the return of the first day (the startDate day) is not accounted for. For the other benchmarks (such as IBOVESPA or USDBRL), the first day is accounted for.

Where to access​

To list all available benchmarks, with search by name, see List Benchmarks.

To get the historical series of a benchmark, choosing the frequency (frequency), a per-period or accumulated series (seriesType) and the modifiers described above, see Read Benchmark by ID. This series can be compared with the Time-Weighted Return (TWR) of a portfolio or a security.