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
Show Child Parameters
Example
OutputRiskMPTStatisticsItem
objectAlphanumber(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
objectSecurityIdstring
Unique identifier of a security.
MPTStatisticsItemobject
Show Child Parameters
Example
OutputRiskPortfolio
objectPortfolio drawdown data across overall, time period, and calendar year views.
PortfolioDrawdownItemobject
Show Child Parameters
TimePeriodsarray[object]
Show Child Parameters
CalendarYeararray[object]
Show Child Parameters
Example
OutputRiskRisks
objectRisk data.
RiskStatisticsarray[object]
Risk statistics for the portfolio, benchmark, and individual securities.
Show Child Parameters
MPTStatisticsarray[object]
Modern Portfolio Theory (MPT) statistics for the portfolio.
Show Child Parameters
CorrelationMatrixarray[object]
Correlation matrix data showing pairwise return correlations between holdings and/or the portfolio.
Show Child Parameters
Drawdownobject
Drawdown data for the portfolio.
Show Child Parameters
CaptureRatioobject
Capture ratio data showing portfolio performance relative to the benchmark in up and down markets.
Show Child Parameters
Example