Returns Statistics

This API calculates the annualised returns and risks (standard deviations of returns), as well as covariances and correlations with other funds, of all funds selected by the user. These values are calculated based on daily funds' prices inputted by the user. User can also override expected returns and expected variances based on their company’s in-house estimation for calculation of annualised returns, risks and covariances of the funds.

Request Body

NameDatatypeDescriptionMandatorySample valuesList of Possible valuesNo. of decimalsNotes
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“, “bucket“, “classification“ is true
symbolStringSymbols of fundsY“QQQ”NA
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 “useRiskBuckets“: 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
annualizedReturnsAndStdDevsArray of dictionaries
symbolStringSymbol of fund"AAXJ"NA
returnFloatAnnualized return of the fund0.01324
stdDevFloatAnnualized standard deviation of returns of the fund0.02314
AnnualizedCovarianceArray of dictionaries
rowSymbolStringSymbol of the first fund in the pair for covariance calculation"AAXJ"NA
columnsArray of dictionaries
columnSymbolStringSymbol of the second fund in the pair for covariance calculation"AAXJ"NA
valueAnnualized covariance between first and second fund in the pair0.0724
annualizedCorrelationArray of dictionaries
rowSymbolStringSymbol of the first fund in the pair for correlation calculation"AAXJ"NA
columnsArray of dictionaries
columnSymbolStringSymbol of the second fund in the pair for correlation calculation"ACWI"NA
valueAnnualized correlation between first and second fund in the pair0.00874
runningTimeFloatTotal API running time0.05474in seconds
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