analyze_advanced_risk
Analyze portfolio risk with advanced metrics like Sortino and Treynor ratios, downside deviation, and risk decomposition. Get comprehensive risk insights for your investment portfolio.
Instructions
Advanced portfolio risk analysis with FinQuant-inspired metrics including Sortino ratio, Treynor ratio, downside deviation, and comprehensive risk decomposition
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| symbols | Yes | Array of stock symbols for portfolio analysis (e.g., ['AAPL', 'MSFT', 'GOOGL']) | |
| weights | No | Portfolio weights for each symbol (must sum to 1). If not provided, equal weights are used | |
| risk_free_rate | No | Risk-free rate for Sharpe/Sortino calculations. If not provided, fetches current Treasury rate | |
| rolling_window | No | Rolling window size for rolling risk analysis (default: 30 days) | |
| analysis_period | No | Number of trading days for analysis (default: 252 = 1 year) | |
| use_market_data | No | Use real market data for analysis | |
| benchmark_symbol | No | Benchmark symbol for relative performance analysis (e.g., 'SPY' for S&P 500) | SPY |
| confidence_levels | No | Confidence levels for VaR calculation (e.g., [0.95, 0.99]) | |
| include_attribution | No | Include risk attribution and factor analysis |