quant_performance
Calculate risk-adjusted performance metrics such as Sharpe ratio, Sortino ratio, Alpha, and Beta using financial data. Requires ticker symbols and an indicator name.
Instructions
Pre-computed risk-adjusted performance metrics (Sharpe ratio, Sortino ratio, Alpha, Beta, CAPM, Fama-French factors). 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_beta, get_capital_asset_pricing_model, get_compound_growth_rate, get_factor_asset_correlations, get_factor_correlations, get_fama_and_french_model, get_information_ratio, get_jensens_alpha, get_m2_ratio, get_sharpe_ratio, get_sortino_ratio, get_tracking_error, get_treynor_ratio, get_ulcer_performance_index.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| indicator | Yes | Name of the specific metric to calculate, e.g. 'get_asset_turnover_ratio'. Required — omitting it returns the list of available indicators. | |
| tickers | No | Comma-separated ticker symbols, e.g. 'AAPL,MSFT,GOOGL'. | |
| start_date | No | Start of the date range in YYYY-MM-DD format. | 2021-06-22 |
| end_date | No | End of the date range in YYYY-MM-DD format. | 2026-06-21 |
| quarterly | No | Return quarterly data instead of annual when True. | |
| benchmark_ticker | No | Ticker used as the market benchmark, e.g. 'SPY' or '^GSPC'. | SPY |
| period | No | Observation frequency, e.g. 'monthly', 'quarterly', or 'annual'. | |
| show_full_results | No | Value for show_full_results. | |
| rounding | No | Number of decimal places to round results to. | |
| growth | No | Return period-over-period growth rates instead of absolute values. | |
| lag | No | Number of periods to lag when computing growth rates. | |
| rolling | No | Value for rolling. | |
| factors_to_calculate | No | Comma-separated factor names to include in the calculation. | |
| exclude_risk_free | No | Value for exclude_risk_free. | |
| method | No | Value for method. | multi |
| include_daily_residuals | No | Value for include_daily_residuals. |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |