This API generates efficient portfolios based on target returns. Additional information on efficient portfolios is also displayed which includes weights of each fund, annualised risk and return, and Sharpe ratio.
Following are the adjustable constraints on the efficient portfolios:
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Maximum and minimum weight on each fund in the portfolio
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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“.
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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
| Name | Datatype | Description | Mandatory | Sample value | List of possible values | No. of decimal places | Notes |
|---|---|---|---|---|---|---|---|
| minWeight | Float | Minimum weight on each fund | Y | 0 | >=0, <=1 | 4 | |
| maxWeight | Float | Maximum weight on each fund | Y | 1 | >=0, <=1 | 4 | maxWeight > minWeight |
| targetReturns | Array of float | Target return(s) for efficient portfolios | Y | [0.2, 0.7, …] | >=0, <=1 | 4 | |
| priceRecords | Array of dictionaries | Record of daily funds' prices | Y | ||||
| divAdjClose | Float | Daily dividend adjusted prices of funds | Y | 37.06 | 2 | ||
| symbol | String | Symbols of funds | Y | “QQQ” | NA | ||
| date | String | Date of price data | Y | "2008-08-22" | NA | ||
| productDictionary | Array of dictionaries | Contains additional constraints on weights of funds and information to be overridden. | Y when either “override“, “useRiskBuckets“, “useClassifications“ is true | ||||
| Classification | String | Classification of the fund in core-satellite investing. | Y when “useClassifications“: true | "UC" | “UC“, “C“, “S1“, “S2“ | NA | Higher weights are allocated to “UC“ (ultra-core) funds, followed by “C“ (core), “S1“ (satellite 1) and “S2“ (satellite 2) funds. |
| riskBucket | String | Classification of the fund’s riskiness. | Y when “useRiskBuckets“: true | "Safe" | “Safe“, “Risky“ | NA | Weights of “Risky“ funds are ensured to be lower than weights of “Safe“ funds |
| expectedReturn | Float | Expected returns of the fund to be used instead of calculating based on “priceRecords” | Y when “override“: true | 0.01 | >=0, <=1 | not limited | |
| expectedStdDev | Float | Expected variances of the fund to be used instead of calculating based on “priceRecords” | Y when “override“: true | 0.01 | >=0, <=1 | not limited | |
| override | Boolean | To use expectedReturn and expectedStdDev of funds in “productDictionary“ rather than calculate from “priceRecords” | Y | false | true, false | NA | |
| useRiskBuckets | Boolean | To add constraints on weights of funds based on funds' riskiness | Y | false | true, false | NA | |
| useClassification | Boolean | To add constraints on weights of funds based their classifications in core-satellite investing | Y | false | true, false | NA | |
| riskFreeRate | Float | Risk free rate for calculation of Sharpe ratio | N | 0.02 | >-1, <1 | 4 |
Response Body
| Name | Datatype | Description | Sample value | No. of decimals | Notes |
|---|---|---|---|---|---|
| targetReturn | Float | Targeted return for the portfolio | 0.05 | ||
| portfolioWeights | Array of dictionaries | ||||
| symbol | String | Symbols of funds | Y | “QQQ” | |
| weight | Float | Weightage of respective fund in the portfolio | 0.1113 | 4 | |
| annualizedReturn | Float | Annualized return of the portfolio | 0.0700 | 4 | |
| annualizedStdDev | Float | Annualized standard deviation of returns of the portfolio | 0.1040 | 4 | |
| sharpeRatio | Float | Sharpe ratio of the portfolio | 24.952412 | 6 | |
| runningTime | Float | API running time for the portfolio | 0.1377 | 4 | in seconds |