Attribution API
Service Description¶
This API endpoint can be used to calculate the performance attribution of a portfolio. This can be done by providing start holdings and a series of transactions.
The Insight API endpoint for the performance attribution calculations is accessed through the following endpoints:
- TBD
Below, we elaborate further on how to use these endpoints in practice.
Performance attribution (from transactions) POST¶
The endpoint has a range of predefined fields to query data for. Let us look at an example.
curl -X "POST" \
"https://api.data.investsuite.com/attribution/transaction-based/" \
-H "accept: application/json" \
-H "Content-Type: application/json" \
-H "X-TENANT-ID: $TENANT_ID" \
-H "X-Api-Key: $IVS_API_SECRET" \
-d '{
"transactions": [
{
"deleted": False,
"movements": [
{
"type": "TRANSFER_IN",
"status": "EXECUTED",
"datetime": "2022-01-05T00:00:00+00:00",
"instrument_id": "$EUR",
"quantity": 100000.0,
}
],
}
],
"currency": "EUR",
"start_date": "2021-12-31",
"end_date": "2022-01-10",
"start_holdings": {"BE0974293251": 100.0},
}'
POST /attribution/transaction-based/ HTTP/1.1
Host: api.data.investsuite.com
X-TENANT-ID: $TENANT_ID
X-Api-Key: $IVS_API_SECRET
accept: application/json
Content-Type: application/json
{
"transactions": [
{
"deleted": False,
"movements": [
{
"type": "TRANSFER_IN",
"status": "EXECUTED",
"datetime": "2022-01-05T00:00:00+00:00",
"instrument_id": "$EUR",
"quantity": 100000.0,
}
],
}
],
"currency": "EUR",
"start_date": "2021-12-31",
"end_date": "2022-01-10",
"start_holdings": {"BE0974293251": 100.0},
}
| Field | Description | Data type | Example | Required |
|---|---|---|---|---|
start_holdings |
A dictionary containing the positions of the portfolio at the start date. | dict |
{"BE0974293251": 100.0} | no |
start_date |
Start date of the performance period. If not given defaults to the first transaction date. | date |
"2021-12-31" | no |
end_date |
End date of the performance period. If not given defaults to the last transaction date. | date |
"2022-01-10" | no |
currency |
The currency of the portfolio in ISO format. | str |
"EUR" | no |
transactions |
A list of transactions. | list |
yes | |
flow_timing |
When flow is executed in the portfolio. Options are "START_OF_PERIOD", "END_OF_PERIOD" (default). | str |
"END_OF_PERIOD" | no |
benchmarks |
The benchmarks used in the attribution | dict |
no | |
hierarchy |
The attribution hierarchy used in the attribution | dict |
no |
The transactions can be provided by the following structure.
| Field | Description | Data type | Example | Required |
|---|---|---|---|---|
movements |
A list of movements within the transaction. | list |
yes | |
deleted |
A boolean flag to indicate a transaction was deleted. | bool |
false | no |
The movements can be provided by the following structure.
| Field | Description | Data type | Example | Required |
|---|---|---|---|---|
datetime |
The timestamp of the movement. | datetime |
"2022-04-01T00:00:00+00:00" | yes |
instrument_id |
The identifier of the instrument. | str |
"BE0003604155" | yes |
quantity |
The quantity transacted. | float |
5 | yes |
type |
The type of the transaction. | str |
"BUY" | yes |
status |
The status the transaction. | str |
"EXECUTED" | yes |
The benchmarks can be provided by the following structure.
| Field | Description | Data type | Example | Required |
|---|---|---|---|---|
market |
The Datastream identifier of the broad market index. | dict |
{"EQUITY": "MSACWFL"} | no |
sectors |
The Datastream identifier of the sectors. | dict |
{"ENERGY": "M1AFE1L", "BASIC_MATERIALS": "M1AFM1L", ...} | no |
regions |
The Datastream identifier of the regions. | dict |
{"EQUITY_EUROPE_DEVELOPED": "MSEROPL", "EQUITY_NORTH_AMERICA": "MSNAMRL", ...} | no |
The hierarchy can be provided by the following structure.
| Field | Description | Data type | Example | Required |
|---|---|---|---|---|
EQUITY |
A dict of the equity factors with true/false values to indicate which factors to use. | dict |
{"STOCK_MARKET": true, "SECTORS": false, ...} | no |
FIXED_INCOME |
A dict of the fixed income factors with true/false values to indicate which factors to use. | dict |
{"INTEREST_RATE": true, "CURRENCY": false, ...} | no |
MONEY_MARKET |
A dict of the money market factors with true/false values to indicate which factors to use. | dict |
{"INTEREST_RATE": true, "CURRENCY": false, ...} | no |
ALTERNATIVES |
A dict of the alternatives factors with true/false values to indicate which factors to use. | dict |
{"CURRENCY": true, ...} | no |
HEDGING |
A dict of the hedging factors with true/false values to indicate which factors to use. | dict |
{"CURRENCY": true, ...} | no |
After uploading data, we get a response back:
{
"data": {
"pf_contrib": {
"EQUITY": {
"CURRENCY": {
"GBP": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.002364767536483359,
"2022-01-04": -0.00562748013782957,
"2022-01-05": 0.000781370652855575,
"2022-01-06": -1.290980781489411e-05,
"2022-01-07": 0.0019134376768415247,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": -0.0023287651321057595,
},
"USD": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.03306392093304231,
"2022-01-04": -0.004055225157069816,
"2022-01-05": 0.012300777921112237,
"2022-01-06": -0.00957589129716174,
"2022-01-07": 0.030660372280212914,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": -0.01563604768710234,
},
},
"EQUITY_SECTOR": {
"BASIC_MATERIALS": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.058587626334411655,
"2022-01-04": 0.06516679714128079,
"2022-01-05": 0.1369232205564125,
"2022-01-06": -0.06025363904455625,
"2022-01-07": 0.05453957509023045,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": -0.018774606669361878,
},
"COMMUNICATION_SERVICES": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.002996217901703605,
"2022-01-04": -0.02395298961140653,
"2022-01-05": -0.048484090713240585,
"2022-01-06": 0.023601109253316647,
"2022-01-07": 0.004115889742693438,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.011782407022746978,
},
...
},
"INSTRUMENT_SPECIFIC": {
"DE000ETFL466": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.3238138850945853,
"2022-01-04": 0.650268526168101,
"2022-01-05": 2.510634099013699,
"2022-01-06": 0.579986843193697,
"2022-01-07": -0.03375173489347834,
"2022-01-08": -0.09000000000000341,
"2022-01-09": -0.09000000000000341,
"2022-01-10": -1.237565761612128,
},
},
"STOCK_MARKET": {
"EQUITY": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.4502899287544606,
"2022-01-04": 0.14475241153004034,
"2022-01-05": -1.3439465899405223,
"2022-01-06": -0.4170173275760035,
"2022-01-07": -0.19343726942490125,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": -0.23494909874734438,
},
},
},
},
"pf_contrib_bottom_up": {
"DE000ETFL466": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.18000000000000682,
"2022-01-04": 1.1700000000000017,
"2022-01-05": 1.4900000000000089,
"2022-01-06": 0.2199999999999988,
"2022-01-07": -0.09000000000000341,
"2022-01-08": -0.09000000000000341,
"2022-01-09": -0.09000000000000341,
"2022-01-10": -1.6099999999999994,
},
},
"pf_exp": {
"EQUITY": {
"CURRENCY": {
"EUR": {
"2021-12-31": 89.80000775370112,
"2022-01-01": 89.80000775370112,
"2022-01-02": 89.80000775370112,
"2022-01-03": 89.96848806843602,
"2022-01-04": 90.89512979947796,
"2022-01-05": 91.19465035900667,
"2022-01-06": 90.0059281383771,
"2022-01-07": 89.71576759633366,
"2022-01-08": 89.71576759633366,
"2022-01-09": 89.71576759633366,
"2022-01-10": 88.2930449385723,
},
"GBP": {
"2021-12-31": 1.0597366939112607,
"2022-01-01": 1.0597366939112607,
"2022-01-02": 1.0597366939112607,
"2022-01-03": 1.0617249428679423,
"2022-01-04": 1.0726603121296907,
"2022-01-05": 1.076194976941569,
"2022-01-06": 1.062166775969427,
"2022-01-07": 1.05874256943292,
"2022-01-08": 1.05874256943292,
"2022-01-09": 1.05874256943292,
"2022-01-10": 1.041952911576498,
},
"USD": {
"2021-12-31": 5.080226770387627,
"2022-01-01": 5.080226770387627,
"2022-01-02": 5.080226770387627,
"2022-01-03": 5.089758152696047,
"2022-01-04": 5.142180755392354,
"2022-01-05": 5.159125435051767,
"2022-01-06": 5.091876237653473,
"2022-01-07": 5.075461079233417,
"2022-01-08": 5.075461079233417,
"2022-01-09": 5.075461079233417,
"2022-01-10": 4.994973850851207,
},
},
"EQUITY_REGION": {
"EUROPE_DEVELOPED": {
"2021-12-31": 94.880227572,
"2022-01-01": 94.880227572,
"2022-01-02": 94.880227572,
"2022-01-03": 95.05823925600001,
"2022-01-04": 96.037303518,
"2022-01-05": 96.353768734,
"2022-01-06": 95.09779740799999,
"2022-01-07": 94.79122172999999,
"2022-01-08": 94.79122172999999,
"2022-01-09": 94.79122172999999,
"2022-01-10": 93.288011954,
},
"NORTH_AMERICA": {
"2021-12-31": 1.059734052,
"2022-01-01": 1.059734052,
"2022-01-02": 1.059734052,
"2022-01-03": 1.0617222960000001,
"2022-01-04": 1.072657638,
"2022-01-05": 1.076192294,
"2022-01-06": 1.062164128,
"2022-01-07": 1.05873993,
"2022-01-08": 1.05873993,
"2022-01-09": 1.05873993,
"2022-01-10": 1.041950314,
},
},
"EQUITY_SECTOR": {
"BASIC_MATERIALS": {
"2021-12-31": 7.791527249999999,
"2022-01-01": 7.791527249999999,
"2022-01-02": 7.791527249999999,
"2022-01-03": 7.8061454999999995,
"2022-01-04": 7.8865458749999995,
"2022-01-05": 7.912533875,
"2022-01-06": 7.809393999999999,
"2022-01-07": 7.784218124999999,
"2022-01-08": 7.784218124999999,
"2022-01-09": 7.784218124999999,
"2022-01-10": 7.660775124999999,
},
"COMMUNICATION_SERVICES": {
"2021-12-31": 3.9232264499999996,
"2022-01-01": 3.9232264499999996,
"2022-01-02": 3.9232264499999996,
"2022-01-03": 3.9305871,
"2022-01-04": 3.971070675,
"2022-01-05": 3.984156275,
"2022-01-06": 3.9322228,
"2022-01-07": 3.9195461249999997,
"2022-01-08": 3.9195461249999997,
"2022-01-09": 3.9195461249999997,
"2022-01-10": 3.857389525,
},
...
},
"INSTRUMENT_SPECIFIC": {
"DE000ETFL466": {
"2021-12-31": 95.939971218,
"2022-01-01": 95.939971218,
"2022-01-02": 95.939971218,
"2022-01-03": 96.119971164,
"2022-01-04": 97.109970867,
"2022-01-05": 97.42997077100001,
"2022-01-06": 96.159971152,
"2022-01-07": 95.84997124499999,
"2022-01-08": 95.84997124499999,
"2022-01-09": 95.84997124499999,
"2022-01-10": 94.329971701,
},
},
"STOCK_MARKET": {
"EQUITY": {
"2021-12-31": 95.939971218,
"2022-01-01": 95.939971218,
"2022-01-02": 95.939971218,
"2022-01-03": 96.119971164,
"2022-01-04": 97.109970867,
"2022-01-05": 97.42997077100001,
"2022-01-06": 96.159971152,
"2022-01-07": 95.84997124499999,
"2022-01-08": 95.84997124499999,
"2022-01-09": 95.84997124499999,
"2022-01-10": 94.329971701,
},
},
},
"MONEY_MARKET": {
"CURRENCY": {
"EUR": {
"2021-12-31": 0.0,
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0,
"2022-01-04": 0.0,
"2022-01-05": 0.0,
"2022-01-06": 0.0,
"2022-01-07": 0.0,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.0,
},
},
},
},
"pf_exp_bottom_up": {
"EQUITY": {
"EQUITY_ETF": {
"DE000ETFL466": {
"2021-12-31": 95.939971218,
"2022-01-01": 95.939971218,
"2022-01-02": 95.939971218,
"2022-01-03": 96.119971164,
"2022-01-04": 97.109970867,
"2022-01-05": 97.42997077100001,
"2022-01-06": 96.159971152,
"2022-01-07": 95.84997124499999,
"2022-01-08": 95.84997124499999,
"2022-01-09": 95.84997124499999,
"2022-01-10": 94.329971701,
},
},
},
},
"raw_returns": {
"ALTERNATIVES": {
"INSTRUMENT_SPECIFIC": {
"$EUR": {
"2021-12-31": 0.0,
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0,
"2022-01-04": 0.0,
"2022-01-05": 0.0,
"2022-01-06": 0.0,
"2022-01-07": 0.0,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.0,
},
"DE000ETFL466": {
"2021-12-31": 0.0,
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0,
"2022-01-04": 0.0,
"2022-01-05": 0.0,
"2022-01-06": 0.0,
"2022-01-07": 0.0,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.0,
},
},
},
"EQUITY": {
"CURRENCY": {
"EUR": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0,
"2022-01-04": 0.0,
"2022-01-05": 0.0,
"2022-01-06": 0.0,
"2022-01-07": 0.0,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.0,
},
"GBP": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.0022314670710849027,
"2022-01-04": -0.005300318293953388,
"2022-01-05": 0.0007284418412984994,
"2022-01-06": -1.1995788952279263e-05,
"2022-01-07": 0.0018014474940577507,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": -0.0021995574744416713,
},
"USD": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.006508355321020343,
"2022-01-04": -0.0007967422096316623,
"2022-01-05": 0.002392132541862324,
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},
},
"EQUITY_REGION": {
"EQUITY_ASIA_PACIFIC_DEVELOPED": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0005162659353386001,
"2022-01-04": 0.017671216026780456,
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"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 8.337677666392374e-05,
},
"EQUITY_EMERGING": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0019839694097112393,
"2022-01-04": 0.0018146997212327154,
"2022-01-05": -0.010255195767502001,
"2022-01-06": -0.002428099972859199,
"2022-01-07": 0.00624098501094994,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.004430019067665603,
},
...
},
"EQUITY_SECTOR": {
"BASIC_MATERIALS": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.0028259471882980947,
"2022-01-04": 0.009854095838897292,
"2022-01-05": 0.0035221915674559234,
"2022-01-06": -0.011895136299865938,
"2022-01-07": 0.004972222701812967,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": -0.004863098061711035,
}),
"COMMUNICATION_SERVICES": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.003929742198270025,
"2022-01-04": -0.0045880422919841735,
"2022-01-05": -0.02604875399997486,
"2022-01-06": 0.0016435658185995905,
"2022-01-07": -0.0009649112889292821,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.0005548469262939282,
},
...
},
"INSTRUMENT_SPECIFIC": {
"$EUR": {
"2021-12-31": 0.0,
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0,
"2022-01-04": 0.0,
"2022-01-05": 0.0,
"2022-01-06": 0.0,
"2022-01-07": 0.0,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.0,
},
"DE000ETFL466": {
"2021-12-31": 0.0,
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0,
"2022-01-04": 0.0,
"2022-01-05": 0.0,
"2022-01-06": 0.0,
"2022-01-07": 0.0,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.0,
},
},
"STOCK_MARKET": {
"EQUITY": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.004693454907666039,
"2022-01-04": 0.0015059556279211073,
"2022-01-05": -0.013839429442123574,
"2022-01-06": -0.004280175024953703,
"2022-01-07": -0.0020116194618978733,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": -0.0024512172063859694,
},
},
},
"FIXED_INCOME": {
"CURRENCY": {
"EUR": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": 0.0,
"2022-01-04": 0.0,
"2022-01-05": 0.0,
"2022-01-06": 0.0,
"2022-01-07": 0.0,
"2022-01-08": 0.0,
"2022-01-09": 0.0,
"2022-01-10": 0.0,
},
"GBP": {
"2022-01-01": 0.0,
"2022-01-02": 0.0,
"2022-01-03": -0.0022314670710849027,
"2022-01-04": -0.005300318293953388,
"2022-01-05": 0.0007284418412984994,
"2022-01-06": -1.1995788952279263e-05,
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"INSTRUMENT_SPECIFIC": {
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},
"INTEREST_RATE": {
"CHF": {
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"HEDGING": {
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"MONEY_MARKET": {
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},
"return_multiplier": {
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},
"total_notional": {
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"2022-01-05": 97.42997077100001,
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},
},
"meta": null
}
| Field | Description | Data type | Example | Required |
|---|---|---|---|---|
data |
Holds all the performance attribution data. | object |
yes | |
pf_exp |
The exposure of each instrument within each asset class/attribution factor. | dict |
yes | |
pf_contrib |
The P&L contribution of each instrument within each asset class/attribution factor. | dict |
yes | |
pf_contrib_bottom_up |
The P&L of each instrument in the portfolio. | dict |
yes | |
pf_exp_bottom_up |
The exposure of each instrument in the portfolio. | dict |
yes | |
total_notional |
The notional timeseries of portfolio. | dict |
yes | |
raw_returns |
The return of each instrument within each asset class/attribution factor. | dict |
yes | |
return_multiplier |
The return multiplier over time. | dict |
yes |