Security metrics

You can now calculate return and risk metrics for an individual security, without needing a position in a portfolio. This lets you analyze how a security has behaved before adding it to a portfolio, or compare securities with each other.

The new endpoints, grouped under Security KPIs in the API reference, are:

• Read Security Time-Weighted Return: the security's TWR, with frequency, seriesType (PER_PERIOD or ACCUMULATED) and type (GROSS, the default, or GROSS_UP).
• Read Security Drawdown: the security's drawdown series, also with the type parameter.
• Read Security Volatility and Read Security Sharpe Ratio: annualized values, with frequency and calculateWindow, following the same methodology used for portfolios.

The return is calculated by simulating a single purchase of the security at the start of the period, with no contributions or redemptions, so it reflects only the security's price variation and its own events. To compare it with a portfolio's TWR, whose default is GROSS_UP, use the same return basis in both queries.

Learn more in Security Metrics.