Portfolio Tearsheet
workflow.run_portfolio_tearsheetCore risk/return tearsheet from a single return series: annualized return (compounded, not linear) and volatility, Sharpe (plain + Lo 2002-corrected + Pezier-White skew/kurtosis-adjusted), Sortino, max drawdown, Calmar ratio, the drawdown-ratio cluster (Ulcer Index/Martin ratio, Pain Index/Pain ratio, Burke ratio + modified), Omega-Sharpe ratio, Upside Potential Ratio, skewness, kurtosis, Probabilistic Sharpe Ratio, win rate, best/worst single-period return. Use when user asks for a full risk summary/report on a strategy or portfolio's returns, not just one metric. Returns all of the above in one call. Returns are decimals (0.02 is 2%), at least 3 periods; the call returns an error when the series never draws down (Calmar undefined) or no period falls below mar (Sortino undefined).
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| mar | No | Minimum acceptable return for the Sortino ratio, same periodicity as returns (default 0) | |
| returns | Yes | Return series, one value per period | |
| benchmark_sharpe | No | Benchmark Sharpe ratio for the PSR figure, same periodicity as returns (default 0) | |
| periods_per_year | No | Periods per year for annualization (default 365). Any number from 1 to 100 million, e.g. 365.25. |