Portfolio X-Ray API

OutputRiskRiskStatistics

object

Risk 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

object
Meannumber(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

object
SecurityIdstring

Unique identifier of a security.

Weightnumber(double)

Percentage of portfolio assets allocated to this holding.

RiskStatisticsItemobject
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Example

OutputRiskSecurity.RiskStatisticsItem

object
Meannumber(double)

Mean return over the trailing period.

SharpeRationumber(double)

Risk-adjusted return per unit of risk. Year2 is not supported at the security level.

StandardDeviationnumber(double)

Statistical measure of return dispersion around the mean, used as an indicator of volatility.

Example

OutputRiskTimePeriods

object
idstring

Time period identifier.

Allowed values:Month3Month6Year1Year2Year3Year5Year10

DrawdownItemobject
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Example