Historical Risk Attribution¶

Computes historical risk attribution for a portfolio, measuring how each security has historically contributed to overall portfolio risk using observed return time series.

HTTP Request

POST /calculations/historical_risk_attribution

HTTP Parameters

Parameter	Description
`portfolio_id` string	optional The ID of an existing portfolio. When provided, the calculation uses the portfolio's securities, date, base currency, and NLV. The `securities` parameter is no longer required.
`securities` array	REQUIRED * An array of objects describing the securities in the portfolio. Each object includes a unique id, symbol, quantity, and label. For more details click here. * Not required if `portfolio_id` is provided.
`date` string date	optional, default is `null` (today) Portfolio date in the format: `YYYYMMDD`.
`base_currency` string	optional, default is `USD` 3-letter ISO 4217 currency code.
`nlv` float	optional, default is `null` (calculated) Net liquidating value (NAV) of the portfolio.
`start_date` string date	optional Start date for the historical window, in the format: `YYYYMMDD`. When provided together with `end_date`, takes precedence over `historical_days`.
`end_date` string date	optional End date for the historical window, in the format: `YYYYMMDD`. Used together with `start_date`.
`historical_days` integer	optional, default is `252` Number of business days used when `start_date`/`end_date` are not provided.
`exponential_decay` float	optional, default is `0.94` EWMA decay factor. Accepts float values from `0` to `1`.
`volatility_filter` integer	optional, default is `0` Minimum annualized volatility threshold (in percent) below which securities are excluded from the attribution.
`calendar` string	optional, default is `BVMF` Trading calendar used to compute business day offsets. Accepts standard exchange calendar codes (e.g. `BVMF`, `NYSE`).
`projection` array	optional, default is `["IND:SPX"]` Array of securities used as the top-down factor model. Maximum: `15` elements.
`aggregation` string	optional, default is `position` Aggregation model. Accepts: `custom`, `position`, `country`, `sector`, `gics_sector`, `market_capitalization`, `liquidity`, `implied_rating`, `duration`, `security_type`, `security_type_refined`, `dividend_yield`, `exposure`, `currency`, `fixed_income`, `total_esg`.
`filter` string	optional, default is `null` Filter expression to select a subset of securities for display. Calculations are still run on the full portfolio. See Filter Expression.

To calculate the historical risk attribution, run the following:

Curl

curl https://api.everysk.com/v2/calculations/historical_risk_attribution \
  -H "Content-Type: application/json" \
  -H "Authorization: Bearer <ACCESS_TOKEN>" \
  -d '{
        "securities": [
          {
            "id": "id1",
            "symbol": "AAPL",
            "quantity": 1000.0
          },
          {
            "id": "id2",
            "symbol": "SIE:XETR",
            "quantity": 750.0
          }
        ],
        "date": "20210622",
        "historical_days": 252
      }' \
  -X POST

The above call returns the following JSON object:

{
  "historical_risk_attribution": {
    "results": {
      "port_historical_vol": 12589.36,
      "port_historical_var": -13627.13,
      "port_historical_cvar": -17621.20,
      "port_historical_bvar": -13901.61,
      "port_historical_st_value": -19237.37,
      "port_historical_st_date": "20201006",
      "port_historical_max_drawdown": -45487.00,
      "sec_historical_vols": {
        "id1": 9096.36,
        "id2": 3492.99
      },
      "sec_historical_vars": {
        "id1": -15458.10,
        "id2": 1830.97
      },
      "sec_historical_cvars": {
        "id1": -16652.94,
        "id2": -968.27
      },
      "sec_historical_st_value": {
        "id1": -22827.44,
        "id2": 3590.06
      }
    },
    "unmapped_tickers": []
  }
}