RiskModels Selection vs Drift
riskmodels_decompose_selection_vs_driftDecompose a portfolio's realized residual return over a date window into stock selection and drift, separating name picking from cohort exposure.
Instructions
Use when you want a book's realized residual return over a date window attributed to stock selection versus drift. Not for current risk or hedges (use riskmodels_portfolio_exposure). Returns, from POST /cohorts/pnl-decomposition, selection (from holding names that beat their cohort's average residual) and drift (from net exposure to the cohort average), which sum exactly to the total; weights are held constant over the window and not normalized, a short is a negative weight, and positions that cannot be mapped to a cohort are listed in coverage.dropped. Historical attribution on end-of-day data. Price: $0.25 per call.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| level | No | Cohort level, e.g. market (default sector) | |
| end_date | No | Window end, format YYYY-MM-DD, e.g. 2026-06-30 | |
| min_names | No | Ignore cohort means on days the cohort had fewer members, integer, e.g. 20 | |
| positions | Yes | The book to attribute, 1-500 positions, e.g. [{"ticker":"MSFT","weight":0.1},{"ticker":"INTC","weight":-0.05}] | |
| start_date | No | Window start, format YYYY-MM-DD, e.g. 2026-01-02 | |
| include_series | No | true adds the daily selection and drift series (large), e.g. true (default false) |