risk_report
Assess portfolio drawdown depth and risk-adjusted returns with bootstrap confidence intervals: max drawdown, Ulcer, CDaR, Sharpe, Sortino, Calmar, and time-weighted return.
Instructions
Drawdown-first risk panel for the held portfolio: max drawdown (depth/dates/recovery + CI), Ulcer, CDaR, and Sharpe/Sortino/Calmar with bootstrap confidence intervals, plus the annualized time-weighted return (it rides on the same daily history). Offline, read-only. Use to answer 'how risky / how deep are the drawdowns' — and for the time-weighted return portfolio_summary can't compute.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
No arguments | |||
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| asof | Yes | ||
| cdar | No | mean of the worst-5% drawdowns (positive magnitude) | |
| note | No | ||
| calmar | No | null when there's no drawdown (undefined) | |
| n_days | Yes | ||
| sharpe | Yes | ||
| sortino | No | null with no downside days (undefined) | |
| is_noisy | Yes | True when under ~2 trading years — bands are wide | |
| provenance | Yes | ||
| ulcer_index | No | RMS drawdown (positive magnitude) | |
| max_drawdown | Yes | ||
| dollar_drawdown | Yes | ||
| true_twr_annualized | No | annualized time-weighted return (252-day basis) from the same daily series as this panel — the one tool that carries it; null only when the window is too short to annualize (< 20 return-days) |