risk_portfolio
Calculate 22 portfolio risk metrics from return series: Sharpe, Sortino, Calmar, Omega, VaR, CVaR, drawdown, skew, kurtosis, and more. Optionally include benchmark returns for relative measures.
Instructions
22 risk metrics: Sharpe, Sortino, Calmar, Omega, VaR, CVaR, drawdown, skew, kurtosis.
Use when you have a series of portfolio returns and need comprehensive risk analytics. Provide an array of periodic returns (e.g. daily). Returns: 22 metrics including Sharpe, Sortino, Calmar, Omega, VaR (95/99), CVaR, max drawdown, skewness, kurtosis, win rate, profit factor. Optionally provide benchmark returns for alpha, beta, tracking error, and information ratio.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | Yes | Array of periodic portfolio returns (e.g. daily) | |
| risk_free_rate | No | Annual risk-free rate for Sharpe/Sortino calculation | |
| benchmark_returns | No | Optional benchmark return series for relative metrics |