OutputRiskCaptureRatioItem
objectDownsideobject
Downside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was negative.
Show Child Parameters
Upsideobject
Upside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was positive.
Show Child Parameters
Example
OutputRiskCorrelatedItemKey
objectCorrelatedItemKeyIdinteger(int32)
Typestring
Indicates whether the correlated item is a portfolio or an individual security.
Allowed values:PortfolioSecurity
Valuenumber(double)
Correlation coefficient between this item and the referenced item.
Example
OutputRiskCorrelationItemKey
objectIdinteger(int32)
SecurityIdstring
Unique identifier of a security.
UseExtendedReturnsboolean
Indicates whether extended return history was used in the calculation.
Typestring
Indicates whether the item is a portfolio or an individual security.
Allowed values:PortfolioSecurity
CorrelatedItemKeyarray[object]
Show Child Parameters
Example
OutputRiskCorrelationMatrix
objectCorrelation matrix data showing pairwise return correlations between holdings and/or the portfolio.
TrailingTimePeriodstring
Trailing time period over which correlations are calculated.
Allowed values:Year3Year5Year10
DataFrequencystring
Frequency of data used in the calculation.
Allowed values:Monthly
StartDatestring(date-time)
Start date of the correlation calculation period.
EndDatestring(date-time)
End date of the correlation calculation period.
Correlationsarray[object]
Show Child Parameters
Example
OutputRiskDownsideItems
objectDownside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was negative.
TimePeriodarray[object]
Show Child Parameters
Example