Portfolio risk metrics (VaR, Sharpe, drawdown) API

Compute risk metrics from a return or price series: Value-at-Risk and CVaR (historical + parametric), volatility, Sharpe/Sortino/Calmar ratios, max drawdown, skew/kurtosis, hit rate. Answers 'value at risk of these returns', 'sharpe ratio', 'max drawdown', 'how risky is this portfolio'.

Price$0.03per request

MethodPOST

Route/v1/quant/risk-metrics

StatusLive

MIME typeapplication/json

Rate limit60/minute

CacheNo cache

quantriskvarcvarsharpedrawdownvolatilityportfolio

API URLhttps://x402.hexl.dev/v1/quant/risk-metrics

Integration docs

Example request

{
  "returns": [
    0.01,
    -0.02,
    0.015,
    -0.005,
    0.02,
    -0.01
  ],
  "confidence": 0.95
}

Example response

{
  "observations": 6,
  "annualizedVolatility": 0.24,
  "sharpeRatio": 0.8,
  "valueAtRisk": {
    "historical": 0.02
  },
  "maxDrawdown": -0.025
}

Input schema

{
  "type": "object",
  "properties": {
    "returns": {
      "type": "array",
      "items": {
        "type": "number"
      },
      "description": "periodic simple returns"
    },
    "prices": {
      "type": "array",
      "items": {
        "type": "number"
      },
      "description": "alternative: a price series"
    },
    "confidence": {
      "type": "number",
      "default": 0.95
    },
    "periodsPerYear": {
      "type": "number",
      "default": 252
    },
    "riskFreeRate": {
      "type": "number",
      "default": 0
    }
  }
}

Output schema

{
  "type": "object",
  "additionalProperties": true
}