OutputRiskPortfolio
objectPortfolio drawdown data across overall, time period, and calendar year views.
PortfolioDrawdownItemobject
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TimePeriodsarray[object]
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CalendarYeararray[object]
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Example
OutputRiskRisks
objectRisk data.
RiskStatisticsarray[object]
Risk statistics for the portfolio, benchmark, and individual securities.
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MPTStatisticsarray[object]
Modern Portfolio Theory (MPT) statistics for the portfolio.
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CorrelationMatrixarray[object]
Correlation matrix data showing pairwise return correlations between holdings and/or the portfolio.
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Drawdownobject
Drawdown data for the portfolio.
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CaptureRatioobject
Capture ratio data showing portfolio performance relative to the benchmark in up and down markets.
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Example
OutputRiskRiskStatistics
objectRisk statistics for the portfolio, benchmark, and individual securities.
AsOfDatestring(date-time)
End date of analysis.
TrailingTimePeriodstring
Trailing time period for which risk statistics are calculated.
Allowed values:Year1Year2Year3Year5Year10
DataFrequencystring
Frequency of data used in the calculation.
Allowed values:MonthlyQuarterly
Portfolioobject
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Benchmarkobject
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Securityarray[object]
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Example
OutputRiskRiskStatisticsItem
objectMeannumber(double)
Mean return over the trailing period.
SharpeRationumber(double)
Risk-adjusted return per unit of risk, calculated as excess return over the risk-free rate divided by standard deviation.
StandardDeviationnumber(double)
Statistical measure of return dispersion around the mean, used as an indicator of volatility.
InformationRationumber(double)
Risk-adjusted performance measure comparing excess return over a benchmark to tracking error.
TrackingErrornumber(double)
Measure of how closely the portfolio’s returns follow the benchmark.
SortinoRationumber(double)
Variation of the Sharpe ratio that uses downside deviation rather than total standard deviation.
ExcessReturnnumber(double)
The portfolio’s return relative to the benchmark return over the same period.
Example
OutputRiskRiskStatisticsSecurityItem
objectSecurityIdstring
Unique identifier of a security.
Weightnumber(double)
Percentage of portfolio assets allocated to this holding.
RiskStatisticsItemobject
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Example