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How to Use Cursors in SQL for a Portfolio Reporting VBA Tool
Portfolio Reporting in VBA: Using SQL Cursors
This document continues with the example of a Portfolio Reporting
VBA tool, which began with the outline of use cases.
In the previous document, we outlined a stored procedure for
calculating the mean, skew and kurtosis of portfolio returns in SQL for
the Portfolio Reporting VBA tool. Here, we look at the more complex
stored procedure with cursors and a loop required to calculate riskreturn measures for each asset. SQL is designed to return complete
tables of data, not rows, so the cursor functionality required to obtain
row by row calculations is really an extension of SQL.
The alternative method for calculating individual asset returns would
have involved creating an ADO Recordset, and transferring each
asset’s returns into an array. This is a slow procedure as it would have
to be repeated for each asset. The better way is to create another
stored procedure in SQL that uses cursors and calls another stored
procedure similar to that for calculating Portfolio return measures.
Stored Procedure Containing Cursor
CREATE PROCEDURE Retrieve_Asset_Returns
USE Assets
DECLARE @Asset_ID VARCHAR(20)
DECLARE cursor_GetAssetReturns CURSOR FOR
SELECT AssetID FROM Asset_Return
OPEN cursor_GetAssetReturns
FETCH NEXT FROM cursor_GetAssetReturns INTO @Asset_ID
WHILE @@FETCH_STATUS = 0
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BEGIN
EXEC @CalculateAssetMoments @Asset_ID
FETCH NEXT FROM cursor_GetAssetReturns INTO @Asset_ID
END
CLOSE cursor_GetAssetReturns
DEALLOCATE cursor_GetAssetReturns
RETURN @Asset_ID, @Asset_Value, @Mean_Return,
@Var_Return, @Skew_Return, @Kurt_Return
Stored Procedure Calculating Asset Risk
CREATE PROCEDURE CalculateAssetMoments @AssetID,
@FromDate, @ToDate AS
---First section: declaring variables for risk-return measures
DECLARE @Returns_Count int
DECLARE @Mean_Return float
DECLARE @Var_Return
float
DECLARE @Skew_Return float
DECLARE @Kurt_Return
float
DECLARE @Coeff
float
DECLARE @Std_Dev_Returns float
--2nd section: Retrieving risk-return measures for each assetID
SELECT @Returns_Count = COUNT(Daily_Returns) FROM ASSETS
WHERE Date (BETWEEN @FromDate AND @ToDate) AND AssetID
= @Asset_ID
Portfolio Reporting VBA App: Using Cursors in SQL
How to Use Cursors in SQL for a Portfolio Reporting VBA Tool
SELECT @Mean_Return = SELECT
SUM(Daily_Returns)/@Returns_Count FROM ASSETS WHERE Date
BETWEEN @FromDate AND @ToDate AND AssetID = @Asset_ID
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SELECT @Var_Return = SELECT SUM((Daily_Returns @Mean_Return)^2)/(@Returns_Count – 1) FROM ASSETS WHERE
Date BETWEEN @FromDate AND @ToDate AND AssetID =
@Asset_ID
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SET @Std_Dev_Price = sqrt(@Var_Returns)
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SELECT @Skew_Return = SELECT SUM((Daily_Returns @Mean_Return)^3/@Std_dev_Returns *@Returns_Count /
(@Returns_Count -1) /(@Returns_Count -2) WHERE Date
BETWEEN @FromDate AND @ToDate AND AssetID = @Asset_ID
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SET @Coeff = 1/(@Returns_Count – 2)/(@Returns_Count – 3)
SET @Kurt_Return = @Returns_Count * (@Returns_Count
+1)*@Coeff*(Returns_Count – 1)*SUM((Daily_Returns @Mean_Return)/@Std_Dev_Return) – 3 *(@Returns_Count -1) *
@Coeff
SELECT @Asset_Value = SELECT AssetHoldings FROM
Asset_Return WHERE AssetID = @Asset_ID
-- 4th section: returning the values from the procedure
RETURN @Asset_ID, @Asset_Value, @Mean_Return,
@Var_Return, @Skew_Return, @Kurt_Return
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How to Use Cursors in SQL for a Portfolio Reporting VBA Tool
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Portfolio Reporting VBA App: Using Cursors in SQL