POportfoliooptimizer
Assets / Indicators

Turbulence Index

Changed on

Compute the turbulence index associated to a universe of assets, as well as its per-asset contributions.

References

post/assets/indicators/turbulence-index

Request

  • Base URL
    https://api.portfoliooptimizer.io/v1
  • URL
    https://api.portfoliooptimizer.io/v1/assets/indicators/turbulence-index
  • Auth
    API key in header X-API-Key

Request body

assetsinteger required

The number of assets

assetsMeanReturnsnumber[] required

assetsMeanReturns[i] is the mean return of asset i over an historical reference period, in percentage

assetsReturnsnumber[] required

assetsReturns[i] is the return of asset i over a period different from the historical reference period in the same frequency as assetsMeanReturns[i], in percentage

Response

OK

assetsTurbulenceIndexnumber required

the turbulence index of the universe of assets

assetsMarginalTurbulenceIndexContributionsnumber[] required

assetsMarginalTurbulenceIndexContributions[i] is the marginal contribution of the asset i to the Turbulence Index

assetsTotalTurbulenceIndexContributionsnumber[] required

assetsTotalTurbulenceIndexContributions[i] is the total contribution of the asset i to the Turbulence Index

assetsRelativeTurbulenceIndexContributionsnumber[]

assetsRelativeTurbulenceIndexContributions[i] is the relative contribution of the asset i to the Turbulence Index, in percentage; assetsRelativeTurbulenceIndexContributions is not provided when assetsTurbulenceIndex is equal to 0

Changes

  • d047148d28bdRevision changes
    • info

      added the optional property to the response with the status

    • info

      added the required property to the response with the status

    • info

      added the required property to the response with the status

  • 614076795988Revision changes
    • info

      endpoint added