---
title: "OutputRiskMPTStatistics"
url: "https://developer-beta.morningstar.com/apis/portfolio-xray-api/versions/4c9879bf-1def-4f49-adea-5a04cd02e29e/schemas/OutputRiskMPTStatistics"
---

> Full API specification: https://developer-beta.morningstar.com/apis/portfolio-xray-api/versions/4c9879bf-1def-4f49-adea-5a04cd02e29e.md

# OutputRiskMPTStatistics

Modern Portfolio Theory (MPT) statistics for the portfolio.

## OpenAPI definition

```yaml
openapi: 3.1.0
info:
  title: Portfolio X-Ray API
  version: "1.0"
servers:
  - url: https://www.us-api.morningstar.com
    description: Americas Production
  - url: https://www.apac-api.morningstar.com
    description: APAC Production
  - url: https://www.emea-api.morningstar.com
    description: EMEA Production
components:
  schemas:
    OutputRiskMPTStatisticsItem:
      type: object
      properties:
        Alpha:
          type: number
          format: double
          description: Difference between the portfolio's actual return and the return
            predicted by its beta. A positive alpha indicates outperformance.
        Beta:
          type: number
          format: double
          description: Measure of the portfolio's sensitivity to benchmark market movements.
        RSquared:
          type: number
          format: double
          description: Strength of the relationship between portfolio returns and
            benchmark returns. High values indicate close correlation.
        UpCaptureRatio:
          type: number
          format: double
          description: Percentage of benchmark upside returns captured by the portfolio
            during periods when the benchmark had positive returns.
        DownCaptureRatio:
          type: number
          format: double
          description: Percentage of benchmark downside returns captured by the portfolio
            during periods when the benchmark had negative returns.
        TreynorRatio:
          type: number
          format: double
          description: Risk-adjusted return measure using market risk (beta) rather than
            total risk (standard deviation).
        OmegaRatio:
          type: number
          format: double
          description: Risk-adjusted return measure that does not assume a normal return
            distribution, focusing on the likelihood of not meeting a target
            return.
    OutputRiskMPTStatistics:
      description: Modern Portfolio Theory (MPT) statistics for the portfolio.
      type: object
      properties:
        AsOfDate:
          type: string
          format: date-time
          description: End date of analysis.
        TrailingTimePeriod:
          type: string
          description: Trailing time period for which MPT statistics are calculated.
          enum:
            - Year1
            - Year2
            - Year3
            - Year5
            - Year10
        DataFrequency:
          type: string
          description: Frequency of data used in the calculation.
          enum:
            - Monthly
            - Quarterly
        Portfolio:
          $ref: "#/components/schemas/OutputRiskMPTStatisticsItem"
```