Portfolio X-Ray API

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.

Show Child Parameters
Example

OutputRiskDrawdownItem

object
MaxDrawdownnumber(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

object

Modern 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
Show Child Parameters
Example

OutputRiskMPTStatisticsItem

object
Alphanumber(double)

Difference between the portfolio’s actual return and the return predicted by its beta. A positive alpha indicates outperformance.

Betanumber(double)

Measure of the portfolio’s sensitivity to benchmark market movements.

RSquarednumber(double)

Strength of the relationship between portfolio returns and benchmark returns. High values indicate close correlation.

UpCaptureRationumber(double)

Percentage of benchmark upside returns captured by the portfolio during periods when the benchmark had positive returns.

DownCaptureRationumber(double)

Percentage of benchmark downside returns captured by the portfolio during periods when the benchmark had negative returns.

TreynorRationumber(double)

Risk-adjusted return measure using market risk (beta) rather than total risk (standard deviation).

OmegaRationumber(double)

Risk-adjusted return measure that does not assume a normal return distribution, focusing on the likelihood of not meeting a target return.

Example

OutputRiskMPTStatisticsSecurityItem

object
SecurityIdstring

Unique identifier of a security.

MPTStatisticsItemobject
Show Child Parameters
Example