OutputProfitabilityItem
objectDebtCapitalnumber(double)
Financial leverage ratio calculated by dividing long-term debt by total capitalization. Not provided for financial companies.
NetMarginnumber(double)
Weighted median net income divided by revenues over the past five fiscal years, expressed as a percentage.
ROAnumber(double)
Weighted average Return on Assets ratio of underlying stock holdings using long-only data.
ROEnumber(double)
Weighted average Return on Equity ratio of underlying stock holdings using long-only data.
Example
OutputProfitabilityItemSecurity
objectSecurityIdstring
Unique identifier of a security.
ProfitabilityItemobject
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Example
OutputRiskCalenderYearItem
objectidstring
Calendar year identifier.
CalenderYearDrawdownItemobject
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Example
OutputRiskCaptureRatio
objectCapture ratio data showing portfolio performance relative to the benchmark in up and down markets.
AsOfDatestring(date-time)
End date of analysis.
Portfolioobject
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Example
OutputRiskCaptureRatioItem
objectDownsideobject
Downside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was negative.
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Upsideobject
Upside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was positive.
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Example