Efficient Frontier

This API generates a number of efficient portfolios' risks and returns to be used to plot the efficient frontier. Higher plot accuracy is achievable with lower computing speed.

Following are the adjustable constraints on the efficient portfolios:

  1. Maximum and minimum weight on each fund in the portfolio

  2. Classification - to incorporate Core-Satellite Investing by classifying funds into “UC“ (Ultra Core), “C“ (Core), “S1“ (Satellite 1) or “S2“ (Satellite 2). Higher weights will be allocated to “UC“ funds, followed by “C“, “S1“ and “S2“.

  3. Risk bucket - to classify funds as either “Safe“ or “Risky“. Weights allocated to “Risky“ funds are lower than weights on “Safe“ funds

User can also override expected returns and expected variances based on their company’s in-house estimation while using this API.

Request Body

NameDatatypeDescriptionMandatorySample valueList of possible valuesNo. of decimal placesNotes
minWeightFloatMinimum weight on each fundY0>=0, <=14
maxWeightFloatMaximum weight on each fundY1>=0, <=14maxWeight > minWeight
computingSpeedIntegerDetermines the number of iterations, 1 is the most intensive.Y5>=1, <=100Use lower computing speed to generate higher accuracy (more efficient portfolios) of efficient plot.
priceRecordsArray of dictionariesRecord of daily funds' pricesY
divAdjCloseFloatDaily dividend adjusted prices of fundsY37.062
symbolStringSymbols of fundsY“QQQ”NA
dateStringDate of price dataY"2008-08-22"NA
productDictionaryArray of DictionariesContains additional constraints on weights of funds and information to be overridden.Y when either “override“, “useRiskBuckets“, “useClassifications“ is true
ClassificationStringClassification of the fund in core-satellite investing.Y when “useClassifications“: true"UC"“UC“, “C“, “S1“, “S2“NAHigher weights are allocated to “UC“ (ultra-core) funds, followed by “C“ (core), “S1“ (satellite 1) and “S2“ (satellite 2) funds.
riskBucketStringClassification of the fund’s riskiness.Y when “useRiskBuckets“: true"Safe"“Safe“, “Risky“NAWeights of “Risky“ funds are ensured to be lower than weights of “Safe“ funds
expectedReturnFloatExpected returns of the fund to be used instead of calculating based on “priceRecords”Y when “override“: true0.01>=0, <=1not limited
expectedStdDevFloatExpected variances of the fund to be used instead of calculating based on “priceRecords”Y when “override“: true0.01>=0, <=1not limited
overrideBooleanTo use expectedReturn and expectedStdDev of funds in “productDictionary“ rather than calculate from “priceRecords”Yfalsetrue, falseNA
useRiskBucketsBooleanTo add constraints on weights of funds based on funds' riskinessYfalsetrue, falseNA
useClassificationBooleanTo add constraints on weights of funds based their classifications in core-satellite investingYfalsetrue, falseNA

Response Body

NameDatatypeDescriptionSample valueNo. of decimalsNotes
efficientFrontierArray of DictionariesContains annualized returns and standard deviations pair of efficient portfolios to plot the efficient frontier plot
returnFloatAnnualized returns for each efficient portfolio0.02944
stdDevFloatAnnualized standard deviations of returns for each efficient portfolio0.02614
productsArray of dictionaries
symbolStringSymbols of funds“QQQ“
returnFloatAnnualized returns of all funds0.0552,4
stdDevFloatAnnualized standard deviations of returns of all funds0.1806,4
runningTimeFloatAPI running time0.13774In seconds
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