Portfolio X-Ray API

OutputRiskCorrelatedItemKey

object
CorrelatedItemKeyIdinteger(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

object
Idinteger(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]
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Example

OutputRiskCorrelationMatrix

object

Correlation 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]
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Example

OutputRiskDownsideItems

object

Downside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was negative.

TimePeriodarray[object]
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Example

OutputRiskDrawdown

object

Drawdown data for the portfolio.

AsOfDatestring(date-time)

End date of analysis.

Portfolioobject

Portfolio drawdown data across overall, time period, and calendar year views.

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Example