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Volatility and Sharpe ratio

You can now query the volatility and the Sharpe ratio of portfolios and economic groups. These risk metrics complement the return analysis: they show how much the returns vary and how much return was obtained relative to the risk taken.

The new endpoints are Read Volatility, Read Sharpe Ratio, Read Economic Group Volatility and Read Economic Group Sharpe Ratio. Values are annualized, and the Sharpe ratio uses the CDI as the risk-free rate.

Each response returns the value for the requested period (interval) and a time series (timeseries). The main parameters are:

  • frequency (required): DAILY, MONTHLY, YEARLY or INTERVAL.
  • calculateWindow: the window of past returns used at each point: 3M, 6M, 12M (default), 24M or PER_FREQUENCY.
  • startDate and endDate, plus filters by broker, security, asset class, security type and classification.

Learn more in Volatility and Sharpe Ratio.