risk_portfolio
Calculate 22 portfolio risk metrics including Sharpe, VaR, CVaR, and drawdown from return series to evaluate risk-adjusted performance and downside risk.
Instructions
22 risk metrics: Sharpe, Sortino, Calmar, Omega, VaR, CVaR, drawdown, skew, kurtosis.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| returns | Yes | Array of periodic portfolio returns (e.g. daily) | |
| benchmark_returns | No | Optional benchmark return series for relative metrics | |
| risk_free_rate | No | Annual risk-free rate for Sharpe/Sortino calculation |