Analytics Methodology
300+ analytics functions
500,000+ securities
53 years of history
300+ Analytics Functions
Returns & Performance Returns & Performance
Price returns, cumulative performance, and period-based analytics across any time horizon.
returns
Daily percentage change between consecutive prices. Simple arithmetic returns.
log_returns
Logarithmic returns: ln(P_t / P_{t-1}). Additive across time, suitable for continuous compounding.
monthly_returns
Month-end to month-end total returns. Groups prices by calendar month.
annual_returns
Calendar-year returns. Year-over-year performance comparison across securities.
cumulative_performance
Cumulative total return rebased to 100. Standard performance index for comparing securities.
rolling_cagr
Rolling Compound Annual Growth Rate over a configurable window.
best_period
Best return over a specified period (day, week, month, quarter, year).
worst_period
Worst return over a specified period. Measures maximum adverse move.
win_rate
Percentage of positive return periods. Measures consistency of gains.
rate_of_change
Price rate of change over N periods. Momentum oscillator for trend analysis.
Volatility Volatility
Historical, rolling, and model-based volatility estimation including GARCH family models.
rolling_volatility
Rolling standard deviation of returns. Configurable window (default 265 trading days). Annualized.
monthly_volatility
Month-over-month annualized volatility from month-end return windows.
annual_volatility
Calendar-year annualized volatility. Standard deviation within each year, annualized.
rolling_variance
Rolling variance of returns. Input for portfolio optimization and covariance matrices.
garch_volatility
GARCH(1,1) conditional volatility. Captures volatility clustering in financial time series.
egarch_volatility
EGARCH volatility. Captures asymmetric effects — negative shocks increase volatility more than positive ones.
garch_forecast
Forward-looking GARCH volatility forecast. Predicts conditional variance over N future periods.
rolling_garch
Rolling GARCH estimation over a moving window. Tracks how volatility dynamics evolve over time.
Risk Metrics Risk Metrics
Value at Risk, downside risk, tracking error, and tail-risk measures for comprehensive risk assessment.
rolling_var
Rolling Value at Risk. Estimates maximum expected loss at a given confidence level (e.g. 95%, 99%).
rolling_cvar
Rolling CVaR (Expected Shortfall). Average loss beyond the VaR threshold — measures tail risk severity.
downside_deviation
Standard deviation of negative returns only. Penalizes downside volatility, ignores upside.
upside_deviation
Standard deviation of positive returns only. Measures upside volatility separately.
semi_deviation
Semi-deviation: volatility of returns below the mean. Core input for Sortino ratio calculation.
semi_variance
Semi-variance: variance of returns below the mean. Asymmetric risk measure.
tracking_error
Tracking error vs benchmark. Standard deviation of the return difference between portfolio and index.
tracking_error_volatility
Annualized tracking error volatility. Measures how closely a portfolio follows its benchmark over time.
Drawdown Analysis Drawdown Analysis
Peak-to-trough decline metrics — maximum drawdown, duration, recovery, and pain indices.
drawdown
Continuous drawdown series from running maximum. Peak-to-trough decline at every observation point.
max_drawdown
Maximum drawdown: largest peak-to-trough decline over the entire period. Key risk metric.
average_drawdown
Average of all drawdown episodes. Measures typical loss severity during market downturns.
drawdown_duration
Duration of drawdown episodes in trading days. Time from peak to recovery for each drawdown.
pain_index
Pain Index: average absolute drawdown over the entire period. Severity-weighted risk measure.
ulcer_index
Ulcer Index: RMS of drawdown series. Penalizes both depth and duration of drawdowns more than Pain Index.
Risk-Adjusted Ratios Risk-Adjusted Ratios
Sharpe, Sortino, Calmar, Treynor, and more — return per unit of risk across multiple frameworks.
rolling_sharpe
Rolling Sharpe ratio. Excess return over risk-free rate, divided by volatility.
rolling_sortino
Rolling Sortino ratio. Like Sharpe but uses downside deviation — rewards only downside risk reduction.
rolling_calmar
Rolling Calmar ratio. Annualized return divided by maximum drawdown.
rolling_treynor
Rolling Treynor ratio. Excess return divided by beta — measures return per unit of systematic risk.
rolling_information_ratio
Rolling Information ratio. Active return divided by tracking error vs benchmark.
omega_ratio
Omega ratio. Probability-weighted gains over losses at a given threshold. No normality assumption.
burke_ratio
Burke ratio. Return per unit of drawdown risk using sum of squared drawdowns.
sterling_ratio
Sterling ratio. Excess return divided by average drawdown.
tail_ratio
Tail ratio. Right tail (gains) vs left tail (losses) at the 95th percentile.
gain_loss_ratio
Gain-to-loss ratio. Average positive return divided by average negative return.
profit_factor
Profit factor. Gross profit divided by gross loss. Values above 1 indicate net profitability.
capture_ratio
Up/down capture ratio. Measures upside and downside participation relative to a benchmark.
upside_capture
Upside capture ratio. How much of the benchmark's gains the portfolio captures.
downside_capture
Downside capture ratio. How much of the benchmark's losses the portfolio captures.
Correlation & Regression Correlation & Regression
Pairwise relationships, beta decomposition, and rolling regression for portfolio construction.
rolling_correlation
Rolling Pearson correlation. Full N×N matrix across all security pairs.
rolling_covariance
Rolling covariance matrix. Unnormalized relationship strength for portfolio optimization.
rolling_alpha
Rolling Jensen's alpha. Risk-adjusted excess return vs benchmark after adjusting for beta.
rolling_beta
Rolling beta vs benchmark. Measures systematic risk — sensitivity to market movements.
rolling_downside_beta
Rolling downside beta. Beta computed only during negative benchmark returns.
rolling_upside_beta
Rolling upside beta. Beta computed only during positive benchmark returns.
rolling_beta_timing
Rolling beta timing. Measures shift in beta between bull and bear markets.
rolling_r_squared
Rolling R². How much of the portfolio's variance is explained by the benchmark.
rolling_regression
Rolling OLS regression. Full alpha, beta, R², and residuals over a moving window.
rolling_residuals
Rolling regression residuals. Unexplained return component after factor adjustment.
rolling_autocorrelation
Rolling autocorrelation. Measures serial dependence in returns — detects momentum or mean reversion.
rolling_factor_regression
Rolling multi-factor regression. Time-varying factor exposures across Fama-French or custom factors.
Factor Analysis Factor Analysis
Fama-French factor models, attribution, and style analysis for systematic risk decomposition.
factor_attribution
Factor attribution. Decomposes returns into factor contributions: market, size, value, momentum.
factor_regression
Fama-French factor regression (FF3/FF5). Full regression with alpha, betas, R², and t-statistics.
Statistical & Momentum Statistical & Momentum
Distribution shape, trend indicators, and market microstructure analytics.
rolling_skewness
Rolling skewness. Measures asymmetry: negative skew = larger left-tail risk.
rolling_kurtosis
Rolling excess kurtosis. Measures tail risk: higher kurtosis = more extreme events.
momentum
Momentum indicator. Absolute price change over N periods — trend strength signal.
relative_strength
Relative strength. Performance of one security vs another over a rolling window.
hurst_exponent
Hurst exponent. H>0.5 = trending, H<0.5 = mean-reverting, H=0.5 = random walk.
Portfolio Optimization & Construction
portfolio.optimize
Portfolio optimization. Solver modes: Mean-Variance (Markowitz), Minimum Volatility, Maximum Sharpe, Risk Parity (Equal Risk Contribution), Black-Litterman, Maximum Diversification, and Hierarchical Risk Parity (HRP). Supports constraints on weights, sectors, and asset classes.
portfolio.stress
Stress testing. Apply historical or hypothetical scenarios: 2008 Financial Crisis, COVID-19 crash, rate shock, custom factor moves. Measures portfolio impact under extreme conditions.
portfolio.attribution
Performance attribution vs benchmark. Brinson-Fachler decomposition: allocation effect, selection effect, and interaction effect.
portfolio.contribution
Return contribution by asset. Decomposes total portfolio return into individual holding contributions: weight × return.
portfolio.rebalance
Rebalancing analysis. Calculates drift from target weights, recommended trades, estimated transaction costs, and tax impact.
portfolio.tearsheet
Full analytics tearsheet. Comprehensive one-call report: returns, volatility, Sharpe, Sortino, max drawdown, rolling metrics, factor exposures, and sector allocation.
portfolio.exposure
Exposure breakdown. Decompose portfolio exposure by geography, sector, asset class, currency, and market cap.
portfolio.drift
Weight drift evolution. Tracks how portfolio weights deviate from targets over time due to differential returns.
portfolio.costs
Portfolio cost analysis. Aggregates TER, transaction costs, custody fees, and management fees across all holdings.
portfolio.compare
Compare multiple portfolios. Side-by-side comparison of returns, risk, Sharpe, drawdown, and factor exposures.
Asset Allocation & Efficient Frontier
asset_allocation.frontier
Efficient frontier. Computes the Markowitz efficient frontier: optimal portfolios offering maximum return for each risk level.
asset_allocation.optimize
Model allocation optimization. Finds optimal weights across asset classes given a target risk level or return objective.
asset_allocation.stress
Asset allocation stress test. Tests how a model allocation performs under historical and hypothetical crisis scenarios.
asset_allocation.backtest
Model backtesting with rebalancing. Simulates a model over historical data with periodic rebalancing.
asset_allocation.compare
Compare multiple allocation models. Side-by-side analysis of risk, return, Sharpe, and factor exposures.
asset_allocation.drift
Allocation drift vs model. Measures current portfolio drift from the strategic asset allocation model.
asset_allocation.risk_profile
MiFID SRI risk profile template. Model portfolio for each MiFID II Summary Risk Indicator level (1-7).
Options Pricing & Greeks
options.price
Black-Scholes option pricing. Theoretical fair value for European calls and puts. Inputs: spot, strike, expiry, risk-free rate, volatility, dividends.
options.greeks
Option Greeks. Delta (price sensitivity), Gamma (delta curvature), Theta (time decay), Vega (volatility sensitivity), Rho (rate sensitivity).
options.iv
Implied volatility. Reverse-engineers market's expected volatility from observed option prices using Newton-Raphson iteration.
options.strategy
Option strategy analysis. Multi-leg strategies: spreads, straddles, strangles, butterflies, condors, collars. Returns max profit/loss, breakevens, risk profile.
options.payoff
Payoff diagram. P&L profile of an option or strategy across underlying prices at expiry. Breakeven points, max gain/loss zones.
Fixed Income & Bond Analytics
bonds.analyze
Single bond analysis. YTM, YTC, modified duration, Macaulay duration, convexity, DV01, accrued interest, clean/dirty prices.
bonds.curve
Yield curve analysis. Nelson-Siegel and Svensson parametric models. Extracts level, slope, curvature factors. Identifies inversions.
bonds.spread
Credit spread analysis. Spread between bond yield and risk-free rate. Tracks widening/tightening as credit risk indicator.
bonds.ladder
Bond ladder construction. Diversified portfolio with staggered maturities for income stability and reinvestment flexibility.
bonds.portfolio
Bond portfolio analytics. Aggregate duration, convexity, weighted average yield, credit quality distribution, and sector allocation.
bonds.maturity_profile
Maturity distribution by bucket. Groups bonds into maturity buckets (0-1y, 1-3y, 3-5y, 5-10y, 10-20y, 20y+).
Equity Analysis & Technical Indicators
stocks.technicals
Technical indicators. MACD, RSI, Bollinger Bands, Stochastic, ATR, OBV, Williams %R, CCI, ADX, Parabolic SAR, Ichimoku Cloud, and more.
stocks.signals
Buy/sell signal generation. Crossover signals, overbought/oversold, divergence detection, trend confirmation. Ensemble scoring.
stocks.valuation
Valuation metrics. P/E, P/B, EV/EBITDA, P/Sales, PEG ratio, and DCF-based intrinsic value estimates. Sector comparison.
stocks.momentum
Momentum and trend analysis. Multi-timeframe scoring combining price action, volume trends, relative strength, and moving averages.
stocks.dividends
Dividend data. Yield, payout ratio, growth rate, ex-dividend dates, payment history. Identifies dividend aristocrats.
stocks.peers
Peer comparison. Compare stock against sector peers on valuation, profitability, growth, and momentum.
Factor Models & Risk Decomposition
factors.risk_model
Factor risk decomposition. Decomposes total risk into systematic (factor-driven) and idiosyncratic (security-specific) components.
factors.scenario
Factor scenario analysis. Simulates portfolio impact from hypothetical factor movements. Maps factor shocks to portfolio P&L.
factors.portfolio_exposure
Portfolio factor exposure. Maps exposure to Market, Size (SMB), Value (HML), Profitability (RMW), Investment (CMA), and Momentum.
factors.rolling_covariance
Rolling factor covariance. Time-varying covariance matrix of factor returns. Captures regime changes in factor relationships.
ESG Analytics & Sustainable Investing
esg.portfolio
Portfolio ESG metrics. Weighted-average ESG score, E/S/G pillar breakdown, carbon intensity, SFDR classification, EU Taxonomy alignment.
esg.screen
ESG screening. Filter by minimum ESG score, exclusion lists (weapons, tobacco, fossil fuels), positive screening (green bonds, renewables).
esg.compare
ESG comparison. Side-by-side E, S, G pillar scores, carbon footprint, and sustainability ratings across portfolios.
esg.get
Get ESG data for securities. E, S, G scores, overall rating, carbon emissions, controversy score, SFDR, EU Taxonomy eligibility.
Alternative Investments & Private Assets
alternatives.performance
IRR, TVPI, DPI calculation. Internal Rate of Return, Total Value to Paid-In, Distributions to Paid-In. Industry-standard private asset metrics.
alternatives.cash_flow
Capital call and distribution tracking. Records capital calls, distributions, and tracks committed vs drawn capital over the fund lifecycle.
alternatives.nav_update
NAV updates. Periodic Net Asset Value updates for illiquid assets. Supports quarterly reporting cycles of private funds.
alternatives.summary
Portfolio-level alternative assets summary. Aggregates IRR, TVPI, DPI across all alternative holdings. Vintage year diversification and J-curve position.
Risk Profiling & Suitability
profiling.questionnaire
Risk tolerance questionnaire. Multi-language MiFID II questionnaire covering investment objectives, time horizon, risk capacity, and experience.
profiling.check_suitability
Suitability check. Validates whether a proposed investment is suitable for the investor's risk profile. SRI 1-7 matching, concentration limits.
profiling.convert_answers
Answer-to-profile conversion. Converts questionnaire responses into risk score (1-100), SRI level (1-7), and asset allocation recommendation.
Beyond Analytics
Securities Data
Search, lookup, price history, breakdowns, fees, MiFID II data, and screening across 500,000+ instruments.
Portfolio Management
Create portfolios, calculate returns, performance attribution, stress testing, optimization, and tearsheets.
Asset Allocation
Efficient frontier computation, model backtesting with rebalancing, drift analysis, and MiFID risk profiles.
Fixed Income
Bond analytics, yield curves, credit spreads, ladder construction, maturity profiles, and portfolio-level metrics.
Options & Derivatives
Black-Scholes pricing, Greeks (delta, gamma, vega, theta, rho), implied volatility, payoff diagrams, and strategy analysis.
Stocks & Technicals
Technical indicators (MACD, RSI, Bollinger), buy/sell signals, momentum analysis, peer comparison, and valuation metrics.
ESG & Sustainability
ESG scoring, portfolio-level sustainability metrics, screening by criteria, and ESG comparison across portfolios.
Factor Models
Fama-French FF3/FF5 factor data, portfolio factor exposure, risk decomposition, scenario analysis, and rolling covariance.
Fundamentals
Financial statements, fundamental ratios, earnings history, data quality reports, and available metrics catalog.
Macro Economics
Economic indicators (GDP, CPI, unemployment), economic calendar, country data, and macro time series history.
News & Market Intelligence
News search, trending topics, publication feeds, article details, and cross-source comparison.
Realtime Data
Live quotes, intraday chart data, market calendar events, and data source health monitoring.
How We Validate
Dual-Engine Validation
Numerical Precision
Edge Case Handling
EU-Hosted Infrastructure
Use These Analytics
REST API
Direct HTTP calls returning JSON or CSV. Full OpenAPI documentation with interactive Swagger UI.
Python SDK
Native Python library returning DataFrames. Install with pip and call analytics as functions.
MCP Server
Model Context Protocol server for AI agents. Give Claude, GPT, or any LLM direct access to financial analytics.
MarketOcean
Visual dashboard with AI assistant. Explore all analytics through an interactive interface without writing code.
Integrate transparent, validated analytics into your workflow
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