Risk Metrics

L3 factor decomposition time series

Returns columnar time series of L3 hedge ratios and explained-risk fractions (parallel arrays by trading date) from V3 security_history. Components: market, sector, subsector, residual. Includes ticker, universe, and data_source. This route does not append _agent to the JSON body in the current implementation; use headers / account balance for billing if applicable. Billing: $0.04 per request.

get/l3-decomposition

Request

Base URL: https://riskmodels.app/api
URL: https://riskmodels.app/api/l3-decomposition
Auth: HTTP bearer

Query parameters

tickerstring required

market_factor_etfstring

Market factor ETF (passed through to the decomposition service).

yearsinteger

Calendar years of daily history to return (bounds the Zarr/DB slice; default 1).

Response

Columnar L3 HR/ER time series (V3).

tickerstring required

datesstring[] required

l3_market_hrnumber[] required

l3_sector_hrnumber[] required

l3_subsector_hrnumber[] required

l3_market_ernumber[] required

l3_sector_ernumber[] required

l3_subsector_ernumber[] required

l3_residual_ernumber[] required

market_factor_etfstring required

universestring required

data_sourcestring required

Example response

{
  "data_source": "security_history"
}

Changes

No recorded changes to this operation across all 1 revision of this API.