Domain 05 · Portfolio Analytics
Optimisation, attribution,
factor models.
50 functions covering the full portfolio management and analytics lifecycle — from mean-variance optimisation and Black-Litterman through factor models, performance attribution and drawdown analytics. Multi-asset, multi-currency, ESG-aware.
50
Functions
6
Categories
UCITS
Standard
AIFMD
Compliant
Function library
50 Portfolio Analytics functions
Showing all 50 functions
Key capabilities
Built for institutional precision
Mean-Variance & Black-Litterman
Markowitz efficient frontier with Black-Litterman view integration. Supports shrinkage estimators (Ledoit-Wolf) for robust covariance estimation on small samples.
Multi-Factor Attribution
Brinson-Hood-Beebower attribution plus factor-based attribution using Barra-style factor exposures. Decomposes return into allocation, selection, interaction and factor effects.
Drawdown Analytics
Maximum, average and conditional drawdown with statistical significance. Calmar, Ulcer Index and recovery time analysis for tail risk characterisation.
Regulatory alignment
Standards covered
✓
UCITS — Investment Restrictions
UCITS diversification limits, concentration rules and commitment approach for derivatives exposure.
✓
AIFMD — Risk Metrics
VaR, leverage, liquidity and counterparty exposure metrics required under AIFMD Annex IV reporting.
✓
MiFID II — Suitability & Appropriateness
Portfolio suitability metrics, risk tolerance alignment and cost/charge transparency requirements.
✓
PRIIPS — Summary Risk Indicator
Volatility-based SRI computation for PRIIPS KID regulatory disclosure.
API example
Portfolio Analytics endpoint
POST /api/v1/portfolio/optimise
{
"returns": [[...], ...],
"objective": "max_sharpe",
"constraints": {
"max_weight": 0.20,
"min_weight": 0.0
}
}
→ weights: [0.12, 0.18, ...]
→ sharpe_ratio: 1.847
→ expected_return: 12.3%
{
"returns": [[...], ...],
"objective": "max_sharpe",
"constraints": {
"max_weight": 0.20,
"min_weight": 0.0
}
}
→ weights: [0.12, 0.18, ...]
→ sharpe_ratio: 1.847
→ expected_return: 12.3%
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