performance
Calculate risk-adjusted metrics (Sharpe, Sortino, Alpha, Beta) for tickers to compare returns against a benchmark.
Instructions
Pre-computed risk-adjusted performance metrics (Sharpe ratio incl. standard/adjusted/probabilistic/deflated methods, Sortino ratio, Alpha, Jensen's Alpha, Beta, CAPM, Treynor ratio, M2 ratio, Tracking Error, Information Ratio, Fama-French factors, period Returns, Excess Returns — Returns/Excess Returns support cumulative=true for a compounded growth index rebased to 1). Beta, CAPM, Alpha, Jensen's Alpha, Treynor, Sortino, M2, Tracking Error and Information Ratio support rolling=N for a rolling N-period value spanning the full history instead of one value per period (e.g. period='monthly', rolling=6 for a rolling 6-month figure). Requires tickers='AAPL' — use comma-separated values for multiple tickers. Does NOT support period='daily'; use weekly, monthly, quarterly, or yearly instead.
Available indicators: get_alpha, get_appraisal_ratio, get_beta, get_burke_ratio, get_calmar_ratio, get_capital_asset_pricing_model, get_carhart_four_factor_model, get_compound_growth_rate, get_correlation_matrix, get_covariance_matrix, get_downside_capture_ratio, get_excess_return, get_factor_asset_correlations, get_factor_correlations, get_fama_and_french_model, get_fama_decomposition, get_gain_to_pain_ratio, get_henriksson_merton_model, get_information_ratio, get_jensens_alpha, get_kappa_ratio, get_m2_ratio, get_omega_ratio, get_rachev_ratio, get_returns, get_sharpe_ratio, get_sortino_ratio, get_starr_ratio, get_sterling_ratio, get_tracking_error, get_treynor_mazuy_model, get_treynor_ratio, g
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| lag | No | Number of periods to lag when computing growth rates. | |
| alpha | No | Value for alpha. | |
| order | No | Value for order. | |
| growth | No | Return period-over-period growth rates instead of absolute values. | |
| method | No | Value for method. Leave unset to use the default of the indicator you selected. Defaults are 'multi' for get_fama_and_french_model; 'standard' for get_sharpe_ratio. | |
| period | No | Observation frequency, e.g. 'monthly', 'quarterly', or 'annual'. | |
| rolling | No | Rolling window size in number of periods. When set, the metric is computed over a smoothly overlapping trailing window across the full history (e.g. period='monthly' and rolling=6 gives a rolling 6-month value) instead of one value per period, or (for economics indicators) a simple moving average used to smooth the raw series. Leave unset to use the default of the indicator you selected. Defaults are None for get_alpha, get_appraisal_ratio, get_beta, get_capital_asset_pricing_model, get_fama_decomposition, get_information_ratio, get_jensens_alpha, get_m2_ratio, get_omega_ratio, get_sharpe_ratio, get_sortino_ratio, get_tracking_error, get_treynor_ratio; 14 for get_ulcer_performance_index. | |
| tickers | No | Comma-separated ticker symbols, e.g. 'AAPL,MSFT,GOOGL'. | |
| end_date | No | End of the date range in YYYY-MM-DD format. | 2026-10-02 |
| n_trials | No | Value for n_trials. | |
| indicator | Yes | Name of the specific metric to calculate, e.g. 'get_asset_turnover_ratio'. Required — omitting it returns the list of available indicators. | |
| quarterly | No | Return quarterly data instead of annual when True. | |
| adjustment | No | Value for adjustment. | |
| cumulative | No | Return the cumulative value compounded over time instead of the discrete value per period. Always rebased to start at 1 at the beginning of the selected date range. | |
| start_date | No | Start of the date range in YYYY-MM-DD format. | 2021-10-03 |
| standardize | No | Return the Z-Score (standard score) instead of the raw values, i.e. how many standard deviations each value is from the mean of its own series. When combined with growth=True, the growth values are standardized instead of the raw values. | |
| show_columns | No | Comma-separated names to filter the output. For historical data use the key names visible in any response record (e.g. 'Close,Volume,Return'). For financial statements use the 'metric' field values from the response (e.g. 'Revenue,Net Income,EBITDA'). Call the tool once without this parameter to see all available names, then repeat with show_columns to reduce response size and token usage. | |
| trials_window | No | Value for trials_window. | |
| within_period | No | Value for within_period. | |
| benchmark_ticker | No | Ticker used as the market benchmark, e.g. 'SPY' or '^GSPC'. | SPY |
| exclude_risk_free | No | Value for exclude_risk_free. | |
| show_full_results | No | Value for show_full_results. | |
| factors_to_calculate | No | Comma-separated factor names to include in the calculation. | |
| benchmark_sharpe_ratio | No | Value for benchmark_sharpe_ratio. | |
| include_daily_residuals | No | Value for include_daily_residuals. | |
| minimum_acceptable_return | No | The minimum acceptable return (MAR) threshold below which returns are considered downside, e.g. 0.0 for downside relative to a zero return. |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |