Portfolio Performance and Risk Analytics - Basic
Portfolio Performance & Risk Analytics API is a collection of functions for portfolio performance and risk analysis. Built on a serverless architecture and a microservice framework, this package aims to improve data warehouse ETL / ELT speed/accuracy and firms' real-time reporting capabilities.
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24 endpoints
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the data below comes straight from the public marketplace listing.
Portfolio Performance and Risk Analytics - Basic endpoints
| Method | Endpoint | Description |
|---|---|---|
| Performance | ||
| POST |
Index returns - Calculate the periodic return based on Market Value /Performance/to_periodic_index_return |
Ideal for non-transparent portfolios and their analysis. For example, ETF, Index fund, CLOs or exotic portfolios. The input data stream is an array of [date, Market Value] |
| POST |
Calculate the periodic portfolio returns (Gross, net, net of net, adjusted, GIPs) /Performance/to_period_portfolio_returns |
The input data stream is an array of [date, Portfolio Value, Dollar Return (Gross, net, or net net, or GIPS, etc)] |
| POST |
Calculate the periodic 3 Year annualized returns (Gross, net, net of net, adjusted, GIPs) for a portfolio or a basket of investments /Performance/to_periodic_3_year_annualized_returns |
The input data stream is an array of [date, Return %] |
| POST |
Convert a series of NAV or Market Value into a continuous index with the same starting point /Performance/rebase |
Useful to show the performance of a strategy starting from 100, and adding on returns so that an price index curve can be constructed to compare multiple assets. |
| POST |
Calculate the periodic QTD returns of a portfolio or a basket of investment based on its periodic returns /Performance/to_periodic_QTD_return |
The expected input is a series of [Date, Return %] for a portfolio or a basket of investments based on a specific attributes or a grouped attributes |
| POST |
Calculate the periodic LTM returns of a portfolio or a basket of investment based on its periodic returns /Performance/to_periodic_LTM_return |
The expected input is a series of [Date, Return %] for a portfolio or a basket of investments based on a specific attributes or a grouped attributes |
| POST |
Calculate the periodic 5 Year annualized returns (Gross, net, net of net, adjusted, GIPs) for a portfolio or a basket of investments /Performance/to_periodic_5_year_annualized_returns |
The input data stream is an array of [date, Return %] |
| POST |
Calculate the periodic ITD annualized returns of a portfolio or a basket of investments based on its periodic returns /Performance/to_periodic_ITD_annualized_return |
The expected input is a series of [Date, Return %] for a portfolio or a basket of investments based on a specific attributes or a grouped attributes |
| POST |
Calculate the periodic YTD returns of a portfolio or a basket of investment based on its periodic returns /Performance/to_periodic_YTD_return |
The expected input is a series of [Date, Return %] for a portfolio or a basket of investments based on a specific attributes or a grouped attributes |
| POST |
Calculate the periodic XNPV for an Portfolio, a basket of investment, or a particular asset, position, or trade. /Performance/calc_xnpv |
The expected input values is an array of [Date, CF] and an array of [Date, ending capital balance or capital prior fees or carry] |
| POST |
Calculate the periodic MTD returns of a portfolio or a basket of investment based on its periodic returns /Performance/to_periodic_MTD_return |
The expected input is a series of [Date, Return %] for a portfolio or a basket of investments based on a specific attributes or a grouped attributes |
| POST |
Calculate the periodic ITD returns of a portfolio or a basket of investment based on its periodic returns /Performance/to_periodic_LTD_return |
The expected input is a series of [Date, Return %] for a portfolio or a basket of investments based on a specific attributes or a grouped attributes |
| POST |
Calculate the periodic XIRR for a portfolio, a basket of investment, a position, an asset or a trade /Performance/calc_xirr |
The expected input values is an array of [Date, CF] and an array of [Date, ending capital balance or capital prior fees or carry]. |
| Risk | ||
| POST |
Calculate the maximum drawdown (MDD) of a portfolio or a basket of investment based on its MV /Risk/calc_max_drawdown |
The expected input is an array of [Date, Market Value or NAV]. A maximum drawdown (MDD) is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained.… |
| POST |
Calculated the periodic portfolio drawdown attributes based on portfolio NAV or market value /Risk/to_drawdown_series |
The expected inputs is an array of [date, Market Value or NAV]. This drawdown method of recording is useful because a valley cannot be measured until a new high occurs. Once the… |
| POST |
Calculate the Calmar Ratio of a Portfolio or a basket of investment based on its MV /Risk/calc_calmar_ratio |
The expected inputs is an array of [Date, MV or NAV]. The Calmar ratio is a comparison of the average annual compounded rate of return and the maximum drawdown risk of… |
| POST |
Calculate the Ulcer Index for a Portfolio or a basket of investment based on its MVs /Risk/calc_ulcer_index |
the Ulcer Performance Index, the Ulcer Index, which is a measure of risk (It measures the duration and depth of drawdowns), replaces the standard deviation. Measuring investment… |
| POST |
Calculate the Periodic Drawdown Details based on Portfolio MV or NAV /Risk/calc_drawdown_details |
Returns a data frame with start, end, days (duration) and drawdown for each drawdown in a drawdown series. |
| POST |
Calculate the Sortino Ratio of a portfolio or a basket of investment based on its periodic returns /Risk/calc_sortino_ratio |
The expected inputs is an array of [Date, Return %]. The Sortino ratio variation of the Sharpe ratio only factors in downside, or negative volatility, rather than the total… |
| POST |
Calculate the sharpe ratio of a portfolio or a basket of investment based on its periodic returns /Risk/calc_sharpe_ratios |
The expected inputs is an array of [Date, Return %]. Sharpe ratio = (Mean portfolio return − Risk-free rate)/Standard deviation of portfolio return The problem with the Sharpe… |
| POST |
Calculate the Ulcer Performance Index for a portfolio or a basket of Investments /Risk/calc_ulcer_performance_index |
the Ulcer Performance Index, the Ulcer Index, which is a measure of risk (It measures the duration and depth of drawdowns), replaces the standard deviation. Measuring investment… |
| POST |
Calculate the Information Ratio of a Portfolio or a basket of investment based on its MV /Risk/calc_information_ratio |
The expected inputs are an array of [Dates, Portfolio MV] and an array of [Dates, Benchmark MV or NAV]. The Information ratio, also known as Appraisal ratio, is a measure of the… |
| POST |
Calculate the rolloing correlation between all portfolios and all periods in the set /Risk/to_rolling_correlation |
Calculate the rolloing correlation between all portfolios and all periods in the set. The expected input dataset is [Date, Portfolio A, Portfolio B, Portfolio C, ... ] |
| POST |
Calculate the periodic investment volatility based on periodic returns and frequencies /Risk/to_periodic_volatility |
The calculation is based on a series of [Date, return %] and series type : monthly (12) or daily (252) |
Portfolio Performance and Risk Analytics - Basic pricing
| Plan | Price | Rate limit | Quotas |
|---|---|---|---|
| BASIC | Free | — |
|
| PRO | $500 / month | — |
|
| ULTRA | $600 / month | — |
|
| MEGA | $999 / month | — |
|
