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
OutputRiskSecurity.RiskStatisticsItem
objectMeannumber(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
objectidstring
Time period identifier.
Allowed values:Month3Month6Year1Year2Year3Year5Year10
DrawdownItemobject
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Example
OutputRiskUpsideItems
objectUpside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was positive.
TimePeriodarray[object]
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Example