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POST
/
quantlib
/
portfolio
/
risk
/
ratios
Portfolio Risk-Adjusted Performance Ratios
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/portfolio/risk/ratios \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "returns": [
    0.015,
    -0.008,
    0.023,
    0.012,
    -0.005,
    0.018,
    0.009,
    -0.012,
    0.021,
    0.007
  ],
  "rf_rate": 0.0012,
  "benchmark_returns": [
    0.012,
    -0.006,
    0.019,
    0.01,
    -0.004,
    0.015,
    0.008,
    -0.01,
    0.018,
    0.006
  ],
  "target_return": 0
}
'
{
  "success": true,
  "data": {
    "sharpe_ratio": 0.8234,
    "sortino_ratio": 1.1456,
    "max_drawdown": 0.1523,
    "information_ratio": 0.4567,
    "tracking_error": 0.0456
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
returns
number[]
required

Portfolio return time series (periodic returns, not cumulative)

Example:
[
  0.015,
  -0.008,
  0.023,
  0.012,
  -0.005,
  0.018,
  0.009,
  -0.012,
  0.021,
  0.007
]
​
rf_rate
number
default:0

Risk-free rate (per period, matching returns frequency)

Example:

0.0012

​
benchmark_returns
number[] | null

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

Example:
[
  0.012,
  -0.006,
  0.019,
  0.01,
  -0.004,
  0.015,
  0.008,
  -0.01,
  0.018,
  0.006
]
​
target_return
number
default:0

Target return for Sortino ratio calculation (per period)

Example:

0

Response

Risk ratios successfully calculated

​
success
boolean
Example:

true

​
data
object