Historical Risk Trends


Overview

The Historical Risk Trends resource represents the historic set of risk trends for a portfolio. It will contain total level results only.

See annotated representations below for further details of the results output by this resource.


Media types

The Historical Risk Trends resource is exposed via XML and JSON representations, which have the following media type names:- > application/vnd.statpro.revolution.api.portfolio-historical-risk-trends+json

application/vnd.statpro.revolution.api.portfolio-historical-risk-trends+xml

When a response is received from the web service with status 200 (= OK), the fact that the response contains a Historical Risk Trends resource representation is indicated by the presence of one of these two response headers:- > Content-Type: application/vnd.statpro.revolution.api.portfolio-historical-risk-trends+json; charset=utf-8

Content-Type: application/vnd.statpro.revolution.api.portfolio-historical-risk-trends+xml; charset=utf-8


The Historical Risk Trends resource always links to the Service and Porfolios resources (and to itself). To access these resources use the link relations:-

  • self
  • service
  • portfolios-query

The self link relation identifies the link to the current Historical Risk Trends resource.

The service link relation identifies the Service resource link.

The portfolios-query link relation identifies the link that allows a new query for portfolios to be made.

Notes

The columns headers returned in the CSV are fixed but we reserve the right to add new columns in future. If new columns are added in future we will preserve the ordinal position of the columns.

The historical trend data available in this resource is calculated when the portfolios are (re-)calculated so the frequency of trend data is as frequent as the calculations. Unlike other analysis result resources this data is collected on the day of the calculation and cannot be historically re-calculated.

On any given ‘valuationDate’, the results reflect the latest calculation for the portfolio’s default analysis. So if a portfolio’s default analysis is re-calculated several times on any given day, the results collected are from the latest successful calculation.

On any given ‘valuationDate’ we only calculate measures according to their applicability (see table below for applicabilities).

When values are not calculated it will be emitted as an empty string in the CSV output.

The following fixed set of measures are available in the emitted results set:

CSV Column HeaderDescriptionApplicability
ValueAtRiskPercent% Value at RiskAll portfolios
PotentialUpsidePercent% Potential GainAll portfolios
ExpectedShortfallPercent% Expected ShortfallAll portfolios
ExpectedUpsidePercent% Expected UpsideAll portfolios
ExpectedVolatilityPercent% Expected VolatilityAll portfolios
DiversificationGradeDiversification GradeAll portfolios
BenchmarkValueAtRiskPercentBenchmark % Value at RiskOnly portfolios having a benchmark and enabled for 'Advanced Risk'
PotentialGainBPercentBenchmark % Potential GainOnly portfolios having a benchmark and enabled for 'Advanced Risk'
ExpectedShortfallBPercentBenchmark % Expected ShortfallOnly portfolios having a benchmark and enabled for 'Advanced Risk'
ExpectedUpsideBPercentBenchmark % Expected UpsideOnly portfolios having a benchmark and enabled for 'Advanced Risk'
ExpectedVolBPercentBenchmark % Expected VolatilityOnly portfolios having a benchmark and enabled for 'Advanced Risk'
ValueAtRiskRelPercentRelative Value at Risk %Only portfolios having a benchmark and enabled for 'Advanced Risk'
PotentialUpsideRelPercentRelative Potential Gain %Only portfolios having a benchmark and enabled for 'Advanced Risk'
ExpectedShortfallRelPercentRelative Expected Shortfall %Only portfolios having a benchmark and enabled for 'Advanced Risk'
ExpectedUpsideRelPercentRelative Expected Upside %Only portfolios having a benchmark and enabled for 'Advanced Risk'
ExpectedTERelExpected Tracking ErrorOnly portfolios having a benchmark and enabled for 'Advanced Risk'


Update history

  • Initial Version - June 2017

Annotated Representation (JSON)

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Annotated Representation (XML)

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Last updated: June 2017