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Calc Web Service

Zephyr OnDEMAND provides a number of data-centric endpoints for applications to query. The results can be used as parameters for other web services.

Managers

Each "manager#" parameter (where # is an integer starting with 1) is specified with its composite ID, which is usually the manager's ticker prefixed with a database ID. Since '[' and ']' are invalid for URLs, we use parentheses instead, e.g., (mse)fmagx instead of [mse]fmagx. The gg webservice supports several SQL databases and most market benchmark databases. We have the stylebases and universes that correspond to those databases, and are willing to add stylebases and universes upon request. Requests may also use blends or custom data, in which case a manager composite ID is required to be included in the manager list and additional information must be included as blend parameters or custom data parameters (see below).

Custom Data

Requests may contain data to use for managers or market benchmarks. This is done by (1) including a manager or market benchmark from a recognized custom data database (CFD or CID), and (2) including the needed data through the seriesname#, seriesdb#, seriesdate#, seriesreturns#, and (optionally) seriescurrency# parameters. the frequency of custom data is determined by the size of the gap between the first two dates. It is an error to run a report over a period that spans a gap in data (e.g., if data is missing a month that is needed for the report). While it is legal to have fewer than three data points in a request, StyleADVISOR generally refuses to calculate anything for such little data. The years list does not need to be in any particular order, but the returns list will assume that the first return corresponds to the first date and the second return with the second date, etc.

Blends

To include a blend as a manager or a market benchmark, use the composite IDs (bld)blend1, (bld)blend2, etc. In addition, include the needed blend parameters through the blend.

Window types

The following windows are supported:

Periods

Calculations that have a trailing window may request specific periods to include in the response. By default, the 1 year, 3 year, 5 year and 10 year windows are included. Periods consist of an integer followed by one of y (for a time period measured in years), q (for a time period measured in quarters, that ends on the most recent quarter), or m (for a time period measured in months). That is, periods=1m,2m,3m,1q,2q,3q,1y,5y,10y requests time the 1 month, 2 month, 3 month, 1 quarter (ending on the most recent quarter end), 2 quarter (ending on the most recent quarter end), 3 quarter (ending on the most recent quarter end), 1 year, 5 year and 10 year time periods. In addition, the special time periods exist. The ytd period specifies the year to date (i.e., "from January to the end of the request") window. The inception time period specifies the longest time period for each fund. The all time period will return all time periods calculated, which will be one period for each month (or quarter, for quarterly data). The all time period may only be used by itself.

Statistics

The following statistics and parameter combinations are valid:


StatisticQuery ParameterWindow TypesVs. Types Universe
Alpha alpha single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark yes
Annualized Excess Return annualizedExcessReturns single, rolling marketBenchmark, styleBenchmark
Annualized Return annualizedReturns single, rolling, trailing, calendaryear yes
Batting Average battingAverage single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark
Beta beta single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark yes
Cash Adjusted Alpha cashAdjustedAlpha single, rolling marketBenchmark, styleBenchmark
Cash Adjusted Beta cashAdjustedBeta single, rolling marketBenchmark, styleBenchmark
Correlation correlation single, trailing, calendaryear marketBenchmark, styleBenchmark
Covariance covariance single marketBenchmark, styleBenchmark
Cumulative Excess Return cumulativeExcessReturns single, rolling, expanding marketBenchmark, styleBenchmark
Cumulative Return cumulativeReturns single, rolling, expanding marketBenchmark, styleBenchmark
Down Capture downCapture single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark yes
Drawdowns drawdowns single, rolling
Excess Drawdowns excessDrawdowns single, rolling marketBenchmark, styleBenchmark
Excess Return excessReturns single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark yes
Excess Returns Correlation excessReturnsCorrelation single marketBenchmark, styleBenchmark
Excess Returns Corvariance excessReturnCovariance single marketBenchmark, styleBenchmark
Kurtosis kurtosis single, rolling, trailing, calendaryear
Information Ratio informationRatio single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark yes
Max Drawdown maxDrawdown single, rolling, trailing, calendaryear yes
# of Down Periods numDownPeriods rolling, trailing, calendaryear yes
# of Up Periods numUpPeriods rolling, trailing, calendaryear
Pain Index painIndex single
Pain Ratio painRatio single
R-Squared rSquared single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark yes
Sharpe Ratio sharpeRatio single, rolling, trailing, calendaryear yes
Skewness skewness single, rolling, trailing, calendaryear
Standard Deviation stdDev single, rolling, trailing, calendaryear yes
Style Benchmark Return styleBenchmarkReturns single, rolling
Style Drift styleDrift rolling
Style Points stylePoints single, rolling
Style Weights styleWeights single, rolling
Tracking Error trackingError single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark
Up Capture upCapture single, rolling, trailing, calendaryear marketBenchmark, styleBenchmark yes
Zephyr K-Ratio zephyrKRatio single
Value at Risk valueAtRisk rolling
VaR (Cornish Fisher) cornishFisherValueAtRisk rolling
Conditional VaR conditionalValueAtRisk rolling
Conditional VaR (Cornish Fisher) cornishFisherConditionalValueAtRisk rolling

Diagnostics

If a fund is not found, the service will return an HTTP status code of 400. In the case of other errors, the service will return a status code of 500, and may return an error message (provided by StyleADVISOR).