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

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

# OutputRiskRisks

Risk data.

## 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:
    OutputRiskRiskStatistics:
      description: Risk statistics for the portfolio, benchmark, and individual securities.
      type: object
      properties:
        AsOfDate:
          type: string
          format: date-time
          description: End date of analysis.
        TrailingTimePeriod:
          type: string
          description: Trailing time period for which risk 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/OutputRiskRiskStatisticsItem"
        Benchmark:
          $ref: "#/components/schemas/OutputRiskRiskStatisticsItem"
        Security:
          type: array
          items:
            $ref: "#/components/schemas/OutputRiskRiskStatisticsSecurityItem"
    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"
    OutputRiskCorrelationMatrix:
      description: Correlation matrix data showing pairwise return correlations
        between holdings and/or the portfolio.
      type: object
      properties:
        TrailingTimePeriod:
          type: string
          description: Trailing time period over which correlations are calculated.
          enum:
            - Year3
            - Year5
            - Year10
        DataFrequency:
          type: string
          description: Frequency of data used in the calculation.
          enum:
            - Monthly
        StartDate:
          type: string
          format: date-time
          description: Start date of the correlation calculation period.
        EndDate:
          type: string
          format: date-time
          description: End date of the correlation calculation period.
        Correlations:
          type: array
          items:
            $ref: "#/components/schemas/OutputRiskCorrelationItemKey"
    OutputRiskDrawdown:
      description: Drawdown data for the portfolio.
      type: object
      properties:
        AsOfDate:
          type: string
          format: date-time
          description: End date of analysis.
        Portfolio:
          $ref: "#/components/schemas/OutputRiskPortfolio"
    OutputRiskCaptureRatio:
      description: Capture ratio data showing portfolio performance relative to the
        benchmark in up and down markets.
      type: object
      properties:
        AsOfDate:
          type: string
          format: date-time
          description: End date of analysis.
        Portfolio:
          $ref: "#/components/schemas/OutputRiskCaptureRatioItem"
    OutputRiskRiskStatisticsItem:
      type: object
      properties:
        Mean:
          type: number
          format: double
          description: Mean return over the trailing period.
        SharpeRatio:
          type: number
          format: double
          description: Risk-adjusted return per unit of risk, calculated as excess return
            over the risk-free rate divided by standard deviation.
        StandardDeviation:
          type: number
          format: double
          description: Statistical measure of return dispersion around the mean, used as
            an indicator of volatility.
        InformationRatio:
          type: number
          format: double
          description: Risk-adjusted performance measure comparing excess return over a
            benchmark to tracking error.
        TrackingError:
          type: number
          format: double
          description: Measure of how closely the portfolio's returns follow the benchmark.
        SortinoRatio:
          type: number
          format: double
          description: Variation of the Sharpe ratio that uses downside deviation rather
            than total standard deviation.
        ExcessReturn:
          type: number
          format: double
          description: The portfolio's return relative to the benchmark return over the
            same period.
    OutputRiskRiskStatisticsSecurityItem:
      type: object
      properties:
        SecurityId:
          type: string
          description: Unique identifier of a security.
        Weight:
          type: number
          format: double
          description: Percentage of portfolio assets allocated to this holding.
        RiskStatisticsItem:
          $ref: "#/components/schemas/OutputRiskSecurity.RiskStatisticsItem"
    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.
    OutputRiskCorrelationItemKey:
      type: object
      properties:
        Id:
          type: integer
          format: int32
        SecurityId:
          type: string
          description: Unique identifier of a security.
        UseExtendedReturns:
          type: boolean
          description: Indicates whether extended return history was used in the
            calculation.
        Type:
          type: string
          description: Indicates whether the item is a portfolio or an individual security.
          enum:
            - Portfolio
            - Security
        CorrelatedItemKey:
          type: array
          items:
            $ref: "#/components/schemas/OutputRiskCorrelatedItemKey"
    OutputRiskPortfolio:
      description: Portfolio drawdown data across overall, time period, and calendar
        year views.
      type: object
      properties:
        PortfolioDrawdownItem:
          $ref: "#/components/schemas/OutputRiskDrawdownItem"
        TimePeriods:
          type: array
          items:
            $ref: "#/components/schemas/OutputRiskTimePeriods"
        CalendarYear:
          type: array
          items:
            $ref: "#/components/schemas/OutputRiskCalenderYearItem"
    OutputRiskCaptureRatioItem:
      type: object
      properties:
        Downside:
          $ref: "#/components/schemas/OutputRiskDownsideItems"
        Upside:
          $ref: "#/components/schemas/OutputRiskUpsideItems"
    OutputRiskSecurity.RiskStatisticsItem:
      type: object
      properties:
        Mean:
          type: number
          format: double
          description: Mean return over the trailing period.
        SharpeRatio:
          type: number
          format: double
          description: Risk-adjusted return per unit of risk. Year2 is not supported at
            the security level.
        StandardDeviation:
          type: number
          format: double
          description: Statistical measure of return dispersion around the mean, used as
            an indicator of volatility.
    OutputRiskCorrelatedItemKey:
      type: object
      properties:
        CorrelatedItemKeyId:
          type: integer
          format: int32
        Type:
          type: string
          description: Indicates whether the correlated item is a portfolio or an
            individual security.
          enum:
            - Portfolio
            - Security
        Value:
          type: number
          format: double
          description: Correlation coefficient between this item and the referenced item.
    OutputRiskDrawdownItem:
      type: object
      properties:
        MaxDrawdown:
          type: number
          format: double
          description: Peak-to-trough decline over the measurement period, expressed as a
            percentage.
        NoOfPeriods:
          type: integer
          format: int32
          description: Number of periods in the drawdown.
        PeakDate:
          type: string
          format: date-time
          description: Date at which the maximum drawdown began.
        ValleyDate:
          type: string
          format: date-time
          description: Date at which the maximum drawdown ended.
        UpPercent:
          type: number
          format: double
          description: Number of periods the portfolio outperformed the benchmark when the
            benchmark was up, divided by total up-benchmark periods.
        DownPercent:
          type: number
          format: double
          description: Number of periods the portfolio outperformed the benchmark when the
            benchmark was down, divided by total down-benchmark periods.
    OutputRiskTimePeriods:
      type: object
      properties:
        id:
          type: string
          description: Time period identifier.
          enum:
            - Month3
            - Month6
            - Year1
            - Year2
            - Year3
            - Year5
            - Year10
        DrawdownItem:
          $ref: "#/components/schemas/OutputRiskDrawdownItem"
    OutputRiskCalenderYearItem:
      type: object
      properties:
        id:
          type: string
          description: Calendar year identifier.
        CalenderYearDrawdownItem:
          $ref: "#/components/schemas/OutputRiskDrawdownItem"
    OutputRiskDownsideItems:
      description: Downside capture ratio — the portfolio's percentage capture of
        benchmark returns during periods when the benchmark was negative.
      type: object
      properties:
        TimePeriod:
          type: array
          items:
            $ref: "#/components/schemas/OutputDataItemCaptureRatioTimePeriod"
    OutputRiskUpsideItems:
      description: Upside capture ratio — the portfolio's percentage capture of
        benchmark returns during periods when the benchmark was positive.
      type: object
      properties:
        TimePeriod:
          type: array
          items:
            $ref: "#/components/schemas/OutputDataItemCaptureRatioTimePeriod"
    OutputDataItemCaptureRatioTimePeriod:
      type: object
      properties:
        Id:
          type: string
          description: Time period identifier.
          enum:
            - Year1
            - Year3
            - Year5
            - Year10
        Value:
          type: number
          format: double
          description: Capture ratio value for the time period.
    OutputRiskRisks:
      description: Risk data.
      type: object
      properties:
        RiskStatistics:
          type: array
          items:
            $ref: "#/components/schemas/OutputRiskRiskStatistics"
        MPTStatistics:
          type: array
          items:
            $ref: "#/components/schemas/OutputRiskMPTStatistics"
        CorrelationMatrix:
          type: array
          items:
            $ref: "#/components/schemas/OutputRiskCorrelationMatrix"
        Drawdown:
          $ref: "#/components/schemas/OutputRiskDrawdown"
        CaptureRatio:
          $ref: "#/components/schemas/OutputRiskCaptureRatio"
```