Get ETF risk
get_etf_riskCalculate ETF drawdown, volatility, VaR, Sharpe, Sortino and Calmar from stored daily close prices, adding benchmark beta, correlation and tracking error when provided.
Instructions
Calculate drawdown, annualized volatility, downside volatility, historical VaR, Sharpe, Sortino and Calmar ratios from stored daily close prices. With benchmarkTicker, also calculates beta, correlation, tracking error, active return and information ratio on aligned dates. Results are price-return risk, not distribution-adjusted total-return risk. Read-only.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| days | No | Calendar-day lookback for daily close-price risk calculations. | |
| ticker | Yes | Exact Bullrun ETF listing ticker. | |
| benchmarkTicker | No | Optional exact priced benchmark/proxy ticker for beta, correlation, tracking error, active return, and information ratio. | |
| riskFreeRatePct | No | Annual risk-free rate in percentage points for Sharpe, Sortino, and Calmar ratios. |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| risk | Yes | ||
| ticker | Yes | ||
| webPage | No | ||
| coverage | Yes | ||
| warnings | Yes | ||
| methodology | Yes | ||
| lookbackDays | Yes | ||
| platformLink | No | ||
| benchmarkRelative | Yes |