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]
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OutputRiskDownsideItems
objectDownside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was negative.
TimePeriodarray[object]
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OutputRiskDrawdown
objectDrawdown 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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OutputRiskDrawdownItem
objectMaxDrawdownnumber(double)
Peak-to-trough decline over the measurement period, expressed as a percentage.
NoOfPeriodsinteger(int32)
Number of periods in the drawdown.
PeakDatestring(date-time)
Date at which the maximum drawdown began.
ValleyDatestring(date-time)
Date at which the maximum drawdown ended.
UpPercentnumber(double)
Number of periods the portfolio outperformed the benchmark when the benchmark was up, divided by total up-benchmark periods.
DownPercentnumber(double)
Number of periods the portfolio outperformed the benchmark when the benchmark was down, divided by total down-benchmark periods.
Example
OutputRiskMPTStatistics
objectModern Portfolio Theory (MPT) statistics for the portfolio.
AsOfDatestring(date-time)
End date of analysis.
TrailingTimePeriodstring
Trailing time period for which MPT statistics are calculated.
Allowed values:Year1Year2Year3Year5Year10
DataFrequencystring
Frequency of data used in the calculation.
Allowed values:MonthlyQuarterly
Portfolioobject
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