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POST
/
quantlib
/
portfolio
/
risk
/
comprehensive
Comprehensive Portfolio Risk Analysis
curl --request POST \
  --url https://api.fincept.in/quantlib/portfolio/risk/comprehensive \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "weights": [
    0.3,
    0.25,
    0.25,
    0.2
  ],
  "covariance_matrix": [
    [
      0.04,
      0.006,
      0.008,
      0.01
    ],
    [
      0.006,
      0.09,
      0.012,
      0.015
    ],
    [
      0.008,
      0.012,
      0.0625,
      0.018
    ],
    [
      0.01,
      0.015,
      0.018,
      0.16
    ]
  ],
  "returns": null,
  "benchmark_returns": null,
  "rf_rate": 0.03
}
'
{
  "success": true,
  "data": {
    "volatility": 0.2145,
    "variance": 0.046,
    "downside_deviation": 0.1823,
    "tracking_error": 0.0456,
    "information_ratio": 0.5482,
    "sortino_ratio": 0.4125,
    "max_drawdown": 0.1834
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
​
weights
number[]
required

Portfolio weights (should sum to 1.0)

Example:
[0.3, 0.25, 0.25, 0.2]
​
covariance_matrix
number[][]
required

Asset covariance matrix (annualized)

Example:
[
  [0.04, 0.006, 0.008, 0.01],
  [0.006, 0.09, 0.012, 0.015],
  [0.008, 0.012, 0.0625, 0.018],
  [0.01, 0.015, 0.018, 0.16]
]
​
returns
number[][] | null

Historical returns matrix (time series for each asset). Required for certain metrics like max drawdown.

Example:

null

​
benchmark_returns
number[] | null

Benchmark return time series. Required for tracking error and information ratio.

Example:

null

​
rf_rate
number
default:0

Risk-free rate (annualized) for Sharpe/Sortino calculations

Example:

0.03

Response

Comprehensive risk analysis completed successfully

​
success
boolean
Example:

true

​
data
object

Risk metrics object with various portfolio risk measures

Example:
{
  "volatility": 0.2145,
  "variance": 0.046,
  "downside_deviation": 0.1823,
  "tracking_error": 0.0456,
  "information_ratio": 0.5482,
  "sortino_ratio": 0.4125,
  "max_drawdown": 0.1834
}