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Assets / Indicators

Turbulence Index

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

References

post/assets/indicators/turbulence-index

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assetsMeanReturns[i] is the mean return of asset i over an historical reference period, in percentage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assetsReturns[i] is the return of asset i over a period different from the historical reference period in the same frequency as assetsMeanReturns[i], in percentage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

Changed in 1 of the 11 revisions of this API.3

  • d047148d28bd3See the full diff
    • ○

      added the optional property to the response with the status

      response-optional-property-added

    • ○

      added the required property to the response with the status

      response-required-property-added

    • ○

      added the required property to the response with the status

      response-required-property-added