Portfolio X-Ray API

OutputGeometricAverageCapitalization

object

Geometric average capitalization data for the portfolio and benchmark.

AsOfDatestring(date-time)

End date of analysis.

Portfolioobject
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Benchmarkobject
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Example

OutputGeometricAverageCapitalizationItem

object
Valuenumber(double)

Geometric average capitalization value.

Example

OutputInterestRateRisk

object

Interest rate risk data for the portfolio and benchmark.

AsOfDatestring(date-time)

End date of analysis.

Portfolioobject
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Benchmarkobject
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SecurityBreakdownarray[object]
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Example

OutputInterestRateRiskItem

object
Maturitynumber(double)

Weighted average maturity of portfolio holdings.

MaturityPercentAnalyzednumber(double)

Percentage of portfolio maturity analyzed.

YieldToMaturitynumber(double)

Holding-weighted average yield of all applicable holdings. Ignores the impact of option features such as calls or puts.

ModifiedDurationnumber(double)

Holding-weighted average price sensitivity to interest rate changes, excluding the impact of option features. Expressed in years.

EffectiveDurationnumber(double)

Holding-weighted average price sensitivity to interest rate changes, including the impact of option features. Expressed in years.

EffectiveDurationPercentAnalyzednumber(double)

Percentage of portfolio effective duration analyzed.

WTDCouponnumber(double)
WTDPricenumber(double)
AverageCreditQualitynumber(double)

Morningstar proprietary measure of overall portfolio credit risk, derived from historical default rates associated with each credit rating level.

Example

OutputInterestRateRiskItemSecurity

object
SecurityIdstring

Unique identifier of a security.

InterestRateRiskItemobject
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Example