Risk Metrics

Full returns decomposition (L1/L2/L3 + optional Lstar)

One-call daily return decomposition: gross return plus L1/L2/L3 factor, combined-factor, and residual return series from ds_erm3_returns zarr. Set include_lstar=true or dispatch=lstar to append Lstar level and Lstar-dispatched residual return per date (prefers materialized zarr lstar_rr/lstar_level when present; otherwise derives from marginal ERs).

get/returns-decomposition

Request

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

Query parameters

tickerstring required
market_factor_etfstring
yearsinteger
include_lstarboolean

Include Lstar level and lstar_residual_return arrays.

dispatch'lstar'

Sugar alias — dispatch=lstar sets include_lstar=true.

thresholdnumber float

Marginal ER threshold when deriving Lstar (ignored when zarr has lstar_level).

Response

Returns decomposition time series

tickerstring
datesstring[]
gross_returnnumber[]
l1_factor_returnnumber[]
l2_factor_returnnumber[]
l3_factor_returnnumber[]
l1_combined_factor_returnnumber[]
l2_combined_factor_returnnumber[]
l3_combined_factor_returnnumber[]
l1_residual_returnnumber[]
l2_residual_returnnumber[]
l3_residual_returnnumber[]
lstarstring[]

Present when include_lstar=true or dispatch=lstar.

lstar_residual_returnnumber[]
threshold_usednumber float

Marginal ER threshold used for Lstar dispatch (default 0.01).

market_factor_etfstring
universestring
data_sourcestring

Example response

{
  "data_source": "zarr"
}

Changes

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