Portfolio Optimisation & Risk Management


This page will provide you with access to example use cases to power financial workflows using Refinitiv APIs. On the right are a series of articles describing use cases in detail complete with code examples, snippets and samples, as well as full Jupyter notebooks and source code available on Github. At the bottom of the page you will find links to related APIs, with Overview, Quick Start Guide, full Documentation and Tutorials.

Discover portfolio construction, portfolio optimization & portfolio management / investment workflows and quantitative risk management using our powerful set of APIs and Feeds, available via desktop solutions, software development kits (SDKs) and enterprise level APIs where redistribution of content is required. Our web APIs provide a broad range of language support, including Python, Typescript, .Net and more, so you have unlimited integration options.

Portfolio construction techniques

Use our data APIs for efficient portfolio selection, portfolio management, and Markowitz efficient-frontier type portfolio optimization. Create and optimise portfolios from the widest possible financial asset universes to maximise diversification options. Long fundamental histories for financial assets allow portfolio managers to create granular bottom-up style portfolios. Long financial pricing histories facilitate calculation of various statistical metrics (eg covariance and correlation matrices) used to derive minimum-variance, mean-variance, minimum correlation, minimum volatility, most diversified, risk parity, classic balanced, momentum, IVY type efficient portfolios. Our extensive deep economic historical data sets also provide additional opportunities for economic portfolio overlays. Furthermore our extensive ESG content enables the implementation of sustainable investment strategies and portfolio overlays.

Simple access to full income statement, cashflow and balance sheet histories and our leading I/B/E/S Estimates data including both geographic and business segment information enables granular asset, universe or portfolio analysis and the development of forward-looking models. Uniquely, we also provide expanded coverage of particular industry-specific metrics which allow for deeper dives into relevant industry sectors.

Factor-based Investment Strategies

Based on the work of Fama and French, factor-based investing became popular in Finance during the 1990s and has remained a popular approach to equity portfolio management. Identify portfolio momentum, asset quality, size, value, volatility and yield and many other more contemporary factors. Our data APIs provide easy access to broad and deep data that alongside compute, allow you to implement such strategies for asset allocation or capital allocation, portfolio construction and portfolio risk management.

Smart Beta Investment Strategies

Typically deployed within a single asset class - designed to replicate/outperform a particular index or benchmark with lower risk, cost etc. This involves the use of alternative metrics such as volatility and other statistical type measures to create a tracking portfolio. These techniques have largely fuelled the ballooning of the ETF in finance. Creation of ETFs typically leverage this type of approach to asset management. Our Data API provides access to the content required to formulate, backtest and deploy these asset management strategies.

Additional Value Enhancements

Monitor news affecting your portfolio and other sentiment indicators across geographies, sectors and companies to augment base strategies whether through hedging or rebalancing. API access to news enables text analysis (eg sentiment or risk mining) and other NLP (Natural Language Processing) and ML (Machine Learning) workflows. Additionally our Machine Readable News feed can deliver calculated sentiment scores directly to your algorithms in real-time. We also provide MarketPsych Indices - which provide rich sentiment data tracking news and social media in real time for a broad range of asset classes and instruments that can augment traditional portfolio risk metrics.

Monitoring and Reporting

Once you have your portfolio or watchlist, our data APIs can deliver varied content sets to help you or your algorithms manage your portfolio exposure as well as keep up with timely regulatory reporting. Live prices including evaluated pricing for illiquid or difficult to price instruments in your portfolio, Corporate Actions, Company Events, Company Filings, I/B/E/S Consensus Equity Estimates, Research, Streaming and Historical News, Benchmarks and much much more to help monitor your investment. We also provide instrument pricing analytics such as surfaces and forward curves to bake into your investing scenario analysis. 

Portfolio Risk Management

Our data APIs provide cross-asset real time pricing - for liquid as well as illiquid instruments - to calculate commonly required finance risk measures including value-at-risk (VAR), Sensitivities, credit-value-adjustment (CVA) & x-value-adjustment (XVA), copula, liquidity risk and stress testing. Manage Solvency ll & IFRS13 compliance requirements. With our Data APIs it is also easy to calculate Sharpe, Sortino and Rachev ratios used in investigating the source and stability of portfolio returns.

Our Portfolio Analytics API delivers additional support to quickly derive metrics related to portfolio risk. Our web APIs enable you to easily work in scripting languages such as Python, Typescript and others and as such benefit from the rapidly expanding set of open source quantitative finance libraries available