Portfolio X-Ray API

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

OutputRiskUpsideItems

object

Upside capture ratio — the portfolio’s percentage capture of benchmark returns during periods when the benchmark was positive.

TimePeriodarray[object]
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Example

OutputSecurityInterestRateRiskItem

object
Maturitynumber(double)

Weighted average maturity of the security.

EffectiveDurationnumber(double)

Holding-weighted average price sensitivity to interest rate changes, including the impact of option features. Expressed in years.

WTDCouponnumber(double)
AverageCreditQualitynumber(double)

Morningstar proprietary measure of credit risk, derived from historical default rates associated with each credit rating level.

Example