Portfolio Optimizer
Portfolio Optimizer is a Web API to optimize the composition of investment portfolios (collection of financial assets such as stocks, bonds, ETFs, crypto-currencies) using modern portfolio theory-like algorithms (mean-variance, etc.).
95 subscribers
70 endpoints
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Portfolio Optimizer endpoints
| Method | Endpoint | Description |
|---|---|---|
| Factors | ||
| POST |
/factors/residualization /factors/residualization |
Compute the residuals of a factor against a set of factors, using a returns-based linear regression analysis. References * [Factor Research, Factor Exposure Analysis: Exploring… |
| Portfolio Analysis | ||
| POST |
/portfolio/analysis/alpha /portfolio/analysis/alpha |
Compute the Jensen’s alpha of one or several portfolio(s) in the Capital Asset Pricing Model (CAPM). References * Carl R. Bacon, Practical Portfolio Performance Measurement and… |
| POST |
/portfolio/analysis/tracking-error /portfolio/analysis/tracking-error |
Compute the tracking error between a benchmark and one or several portfolio(s). References * [Wikipedia, Tracking error](https://en.wikipedia.org/wiki/Tracking_error) * Carl R.… |
| POST |
/portfolio/analysis/beta /portfolio/analysis/beta |
Compute the beta of one or several portfolio(s) in the Capital Asset Pricing Model (CAPM).. References * Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution |
| POST |
/portfolio/analysis/return /portfolio/analysis/return |
Compute the arithmetic return of one or several portfolio(s) from either: * Portfolio assets arithmetic returns * Portfolio values References * [Wikipedia, Rate of… |
| POST |
/portfolio/analysis/factors/exposures /portfolio/analysis/factors/exposures |
Compute the exposures of one or several portfolio(s) to a set of factors, using a returns-based linear regression analysis. References * [Measuring Factor Exposures: Uses and… |
| POST |
/portfolio/analysis/mean-variance/minimum-variance-frontier /portfolio/analysis/mean-variance/minimum-variance-frontier |
Compute the discretized mean-variance minimum variance frontier associated to a list of assets, optionally subject to: * Minimum and maximum weights constraints * Maximum group… |
| POST |
/portfolio/analysis/ulcer-index /portfolio/analysis/ulcer-index |
Compute the Ulcer Index of one or several portfolio(s). References * Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution * [Peter G. Martin, Ulcer Index,… |
| POST |
/portfolio/analysis/drawdowns /portfolio/analysis/drawdowns |
Compute the drawdown function - also called the underwater equity curve -, as well as the worst 10 drawdowns of one or several portfolio(s). References * [Wikipedia,… |
| POST |
/portfolio/analysis/mean-variance/efficient-frontier /portfolio/analysis/mean-variance/efficient-frontier |
Compute the discretized mean-variance efficient frontier associated to a list of assets, optionally subject to: * Minimum and maximum weights constraints * Maximum group weights… |
| POST |
/portfolio/analysis/diversification-ratio /portfolio/analysis/diversification-ratio |
Compute the diversification ratio of one or several portfolio(s). References * [Yves Choueifaty and Yves Coignard, Toward Maximum Diversification, The Journal of Portfolio… |
| POST |
/portfolio/analysis/volatility /portfolio/analysis/volatility |
Compute the volatility (i.e., standard deviation) of one or several portfolio(s) from either: * Portfolio assets covariance matrix * Portfolio values References * [Wikipedia,… |
| POST |
/portfolio/analysis/sharpe-ratio /portfolio/analysis/sharpe-ratio |
Compute the Sharpe ratio of one or several portfolio(s) from either: * Portfolio assets arithmetic returns and assets covariance matrix * Portfolio values References * Carl R.… |
| POST |
/portfolio/analysis/ulcer-performance-index /portfolio/analysis/ulcer-performance-index |
Compute the Ulcer Performance Index of one or several portfolio(s). References * Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution * [Peter G. Martin,… |
| POST |
/portfolio/analysis/contributions/risk /portfolio/analysis/contributions/risk |
Perform a risk contribution analysis of one or several portfolio(s), optionally using groups of assets. References * Carl R. Bacon, Practical Portfolio Performance Measurement… |
| POST |
/portfolio/analysis/returns/average /portfolio/analysis/returns/average |
Compute the arithmetic average of the arithmetic return(s) of one or several portfolio(s). References * [Wikipedia, Arithmetic Average Rate of… |
| POST |
/portfolio/analysis/value-at-risk /portfolio/analysis/value-at-risk |
Compute the value at risk of one or several portfolio(s) from portfolio values. References * [Wikipedia, Value at risk](https://en.wikipedia.org/wiki/Value_at_risk) * [Acerbi, C.… |
| POST |
/portfolio/analysis/contributions/return /portfolio/analysis/contributions/return |
Perform a return contribution analysis of one or several portfolio(s), optionally using groups of assets. References * Carl R. Bacon, Practical Portfolio Performance Measurement… |
| POST |
/portfolio/analysis/conditional-value-at-risk /portfolio/analysis/conditional-value-at-risk |
Compute the conditional value at risk of one or several portfolio(s) from portfolio values. References * [Wikipedia, Value at risk](https://en.wikipedia.org/wiki/Value_at_risk) *… |
| Portfolio Construction | ||
| POST |
/portfolio/construction/investable /portfolio/construction/investable |
Compute an investable portfolio as close as possible, in terms of assets weights, to a desired portfolio, taking into account: * The desired assets weights * The desired assets… |
| POST |
/portfolio/construction/mimicking /portfolio/construction/mimicking |
Construct a portfolio as close as possible, in terms of returns, to a benchmark, optionally subject to: * Minimum and maximum weights constraints * Maximum group weights… |
| POST |
/portfolio/construction/random /portfolio/construction/random |
Construct one or several random portfolio(s), optionally subject to: * Minimum and maximum weights constraints * Minimum and maximum portfolio exposure constraints > Because of… |
| Portfolio Optimization | ||
| POST |
/portfolio/optimization/most-diversified /portfolio/optimization/most-diversified |
Compute the asset weights of the most diversified portfolio, optionally subject to: * Minimum and maximum weights constraints * Maximum group weights constraints * Minimum and… |
| POST |
/portfolio/optimization/equal-weighted /portfolio/optimization/equal-weighted |
Compute the asset weights of the equal-weighted portfolio. References * [Victor DeMiguel and al., Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio… |
| POST |
/portfolio/optimization/inverse-volatility-weighted /portfolio/optimization/inverse-volatility-weighted |
Compute the asset weights of the inverse volatility-weighted portfolio. References * [Raul Leote de Carvalho and al., Demystifying Equity Risk-Based Strategies: A Simple Alpha… |
| POST |
/portfolio/optimization/minimum-correlation /portfolio/optimization/minimum-correlation |
Compute the asset weights of the (heuristic) minimum correlation portfolio, which is a portfolio built using the Minimum Correlation Algorithm discovered by [David… |
| POST |
/portfolio/optimization/equal-risk-contributions /portfolio/optimization/equal-risk-contributions |
Compute the asset weights of the equal risk contributions portfolio, optionally subject to: * Minimum and maximum weights constraints References * [Richard, Jean-Charles and… |
| POST |
/portfolio/optimization/hierarchical-risk-parity /portfolio/optimization/hierarchical-risk-parity |
Compute the asset weights of the hierarchical risk parity portfolio, optionally subject to: * Minimum and maximum weights constraints * Minimum and maximum portfolio exposure… |
| POST |
/portfolio/optimization/hierarchical-risk-parity/clustering-based /portfolio/optimization/hierarchical-risk-parity/clustering-based |
Compute the asset weights of the hierarchical clustering-based risk parity portfolio, optionally subject to: * Minimum and maximum weights constraints * Minimum and maximum… |
| POST |
/portfolio/optimization/market-capitalization-weighted /portfolio/optimization/market-capitalization-weighted |
Compute the asset weights of the market capitalization-weighted portfolio. References * [Wikipedia, Capitalization-weighted… |
| POST |
/portfolio/optimization/equal-sharpe-ratio-contributions /portfolio/optimization/equal-sharpe-ratio-contributions |
Compute the asset weights of the equal Sharpe Ratio contributions portfolio. References * [Andreas Steiner, Sharpe Ratio Contribution and Attribution… |
| POST |
/portfolio/optimization/maximum-decorrelation /portfolio/optimization/maximum-decorrelation |
Compute the asset weights of the maximum decorrelation portfolio, optionally subject to: * Minimum and maximum weights constraints * Maximum group weights constraints * Minimum… |
| POST |
/portfolio/optimization/minimum-ulcer-index /portfolio/optimization/minimum-ulcer-index |
Compute the asset weights of the minimum Ulcer Index portfolio, optionally subject to: * Minimum and maximum weights constraints * Maximum group weights constraints * Minimum and… |
| POST |
/portfolio/optimization/maximum-ulcer-performance-index /portfolio/optimization/maximum-ulcer-performance-index |
Compute the asset weights of the maximum Ulcer Performance Index portfolio, optionally subject to: * Minimum and maximum weights constraints * Maximum group weights constraints *… |
| POST |
/portfolio/optimization/inverse-variance-weighted /portfolio/optimization/inverse-variance-weighted |
Compute the asset weights of the inverse variance-weighted portfolio. References * [Raul Leote de Carvalho and al., Demystifying Equity Risk-Based Strategies: A Simple Alpha Plus… |
| Assets / Prices | ||
| POST |
/assets/prices/adjusted /assets/prices/adjusted |
Compute the adjusted prices of one or several asset(s) for one or several date(s) from: * Unadjusted prices * Capital distributions, like stock dividends * Splits, like stock… |
| Assets / Returns | ||
| POST |
/assets/returns /assets/returns |
Compute the arithmetic return(s) of one or several asset(s) for one or several time period(s). References * [Wikipedia, Rate of… |
| POST |
/assets/returns/average /assets/returns/average |
Compute the arithmetic average of the return(s) of one or several asset(s). References * [Wikipedia, Arithmetic Average Rate of… |
| Assets / Covariance Matrix | ||
| POST |
/assets/covariance/matrix/validation /assets/covariance/matrix/validation |
Validate whether a matrix is a covariance matrix. References * [Wikipedia, Covariance Matrix](https://en.wikipedia.org/wiki/Covariance_matrix) |
| POST |
/assets/covariance/matrix /assets/covariance/matrix |
Compute the covariance matrix of assets from either: * The asset correlation matrix and their volatilities (i.e., standard deviations) * The asset correlation matrix and their… |
| POST |
/assets/covariance/matrix/sample /assets/covariance/matrix/sample |
Compute the sample covariance matrix of assets returns. > This endpoint is similar to the endpoint [`/assets/covariance/matrix`](#post-/assets/covariance/matrix), but uses… |
| POST |
/assets/covariance/matrix/exponentially-weighted /assets/covariance/matrix/exponentially-weighted |
Compute an exponentially weighted covariance matrix of assets returns. References * [RiskMetrics Group. Longerstaey, J. (1996). RiskMetrics technical document, Technical Report… |
| POST |
/assets/covariance/matrix/effective-rank /assets/covariance/matrix/effective-rank |
Compute the effective rank of an asset covariance matrix. References * [Olivier Roy and Martin Vetterli, The effective rank: A measure of effective dimensionality, 15th European… |
| Assets / Volatility | ||
| POST |
/assets/volatility /assets/volatility |
Compute the volatility (i.e., standard deviation) of one or several asset(s) from either: * The asset returns * The asset covariance matrix * The asset variance(s) References *… |
| POST |
/assets/volatility/sample /assets/volatility/sample |
Compute the sample volatility (i.e., sample standard deviation) of one or several asset(s) from the asset(s) returns. > This endpoint is similar to the endpoint… |
| Assets / Variance | ||
| POST |
/assets/variance/sample /assets/variance/sample |
Compute the sample variance of one or several asset(s) from the asset(s) returns. > This endpoint is similar to the endpoint [`/assets/variance`](#post-/assets/variance), but… |
| POST |
/assets/variance /assets/variance |
Compute the variance of one or several asset(s) from either: * The asset returns * The asset covariance matrix * The asset volatility(ies) References * [Wikipedia,… |
| Assets / Analysis | ||
| POST |
/assets/analysis/turbulence-index /assets/analysis/turbulence-index |
Compute the turbulence index associated to a universe of assets. References * [M. Kritzman, Y. Li, Skulls, Financial Turbulence, and Risk Management,Financial Analysts Journal,… |
| POST |
/assets/analysis/absorption-ratio /assets/analysis/absorption-ratio |
Compute the absorption ratio associated to a universe of assets. References * [Mark Kritzman, Yuanzhen Li, Sebastien Page and Roberto Rigobon, Principal Components as a Measure… |
| Assets / Correlation Matrix | ||
| POST |
/assets/correlation/matrix /assets/correlation/matrix |
Compute the Pearson correlation matrix of assets from either: * The asset returns * The asset covariance matrix References * [Wikipedia, Correlation and… |
+ 20 more endpoints on the provider's documentation.
Portfolio Optimizer pricing
| Plan | Price | Rate limit | Quotas |
|---|---|---|---|
| BASIC Recommended | Free | — |
|
