Portfolio Risk-Adjusted Performance Ratios
curl --request POST \
--url https://api.fincept.in/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
}
'import requests
url = "https://api.fincept.in/quantlib/portfolio/risk/ratios"
payload = {
"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
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
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
})
};
fetch('https://api.fincept.in/quantlib/portfolio/risk/ratios', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/portfolio/risk/ratios",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'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
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/portfolio/risk/ratios"
payload := strings.NewReader("{\n \"returns\": [\n 0.015,\n -0.008,\n 0.023,\n 0.012,\n -0.005,\n 0.018,\n 0.009,\n -0.012,\n 0.021,\n 0.007\n ],\n \"rf_rate\": 0.0012,\n \"benchmark_returns\": [\n 0.012,\n -0.006,\n 0.019,\n 0.01,\n -0.004,\n 0.015,\n 0.008,\n -0.01,\n 0.018,\n 0.006\n ],\n \"target_return\": 0\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/portfolio/risk/ratios")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"returns\": [\n 0.015,\n -0.008,\n 0.023,\n 0.012,\n -0.005,\n 0.018,\n 0.009,\n -0.012,\n 0.021,\n 0.007\n ],\n \"rf_rate\": 0.0012,\n \"benchmark_returns\": [\n 0.012,\n -0.006,\n 0.019,\n 0.01,\n -0.004,\n 0.015,\n 0.008,\n -0.01,\n 0.018,\n 0.006\n ],\n \"target_return\": 0\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/portfolio/risk/ratios")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"returns\": [\n 0.015,\n -0.008,\n 0.023,\n 0.012,\n -0.005,\n 0.018,\n 0.009,\n -0.012,\n 0.021,\n 0.007\n ],\n \"rf_rate\": 0.0012,\n \"benchmark_returns\": [\n 0.012,\n -0.006,\n 0.019,\n 0.01,\n -0.004,\n 0.015,\n 0.008,\n -0.01,\n 0.018,\n 0.006\n ],\n \"target_return\": 0\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"sharpe_ratio": 0.8234,
"sortino_ratio": 1.1456,
"max_drawdown": 0.1523,
"information_ratio": 0.4567,
"tracking_error": 0.0456
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"body",
"expected_returns"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}quantlib-portfolio
Portfolio Risk-Adjusted Performance Ratios
Calculates key risk-adjusted performance ratios including Sharpe ratio, Sortino ratio, maximum drawdown, information ratio, and tracking error.
Use Cases:
- Performance evaluation and benchmarking
- Manager selection and comparison
- Risk-adjusted return assessment
- Client reporting and communication
Ratios Calculated:
- Sharpe Ratio: Excess return per unit of total risk
- Sortino Ratio: Excess return per unit of downside risk
- Max Drawdown: Largest peak-to-trough decline
- Information Ratio: Active return per unit of tracking error (requires benchmark)
- Tracking Error: Volatility of active returns (requires benchmark)
Credits: 5 per request [Tier: PRO, Credits: 5]
POST
/
quantlib
/
portfolio
/
risk
/
ratios
Portfolio Risk-Adjusted Performance Ratios
curl --request POST \
--url https://api.fincept.in/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
}
'import requests
url = "https://api.fincept.in/quantlib/portfolio/risk/ratios"
payload = {
"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
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
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
})
};
fetch('https://api.fincept.in/quantlib/portfolio/risk/ratios', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/portfolio/risk/ratios",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'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
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/portfolio/risk/ratios"
payload := strings.NewReader("{\n \"returns\": [\n 0.015,\n -0.008,\n 0.023,\n 0.012,\n -0.005,\n 0.018,\n 0.009,\n -0.012,\n 0.021,\n 0.007\n ],\n \"rf_rate\": 0.0012,\n \"benchmark_returns\": [\n 0.012,\n -0.006,\n 0.019,\n 0.01,\n -0.004,\n 0.015,\n 0.008,\n -0.01,\n 0.018,\n 0.006\n ],\n \"target_return\": 0\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/portfolio/risk/ratios")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"returns\": [\n 0.015,\n -0.008,\n 0.023,\n 0.012,\n -0.005,\n 0.018,\n 0.009,\n -0.012,\n 0.021,\n 0.007\n ],\n \"rf_rate\": 0.0012,\n \"benchmark_returns\": [\n 0.012,\n -0.006,\n 0.019,\n 0.01,\n -0.004,\n 0.015,\n 0.008,\n -0.01,\n 0.018,\n 0.006\n ],\n \"target_return\": 0\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/portfolio/risk/ratios")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"returns\": [\n 0.015,\n -0.008,\n 0.023,\n 0.012,\n -0.005,\n 0.018,\n 0.009,\n -0.012,\n 0.021,\n 0.007\n ],\n \"rf_rate\": 0.0012,\n \"benchmark_returns\": [\n 0.012,\n -0.006,\n 0.019,\n 0.01,\n -0.004,\n 0.015,\n 0.008,\n -0.01,\n 0.018,\n 0.006\n ],\n \"target_return\": 0\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"sharpe_ratio": 0.8234,
"sortino_ratio": 1.1456,
"max_drawdown": 0.1523,
"information_ratio": 0.4567,
"tracking_error": 0.0456
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"body",
"expected_returns"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
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
]
Risk-free rate (per period, matching returns frequency)
Example:
0.0012
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 for Sortino ratio calculation (per period)
Example:
0
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