risk-metrics-calculation

To calculate portfolio risk metrics, provide a time series of historical returns to compute Value at Risk (VaR), Conditional VaR (CVaR), volatility, and drawdowns, generating a risk summary across intraday to annual horizons.

Sharpe, Sortino, and Calmar ratios measure risk-adjusted performance by comparing returns against different risk denominators. The skill calculates all three alongside Omega ratios, enabling you to evaluate portfolio performance using volatility, downside deviation, and maximum drawdown respectively.

Yes, you can perform rolling risk analytics and stress testing on portfolio returns. The skill implements historical and hypothetical stress testing utilities, allowing you to monitor risk exposure over dynamic time windows and evaluate portfolio resilience under adverse market scenarios.

Portfolio risk calculation supports optional benchmark comparisons for risk budgeting and monitoring. You can compare your portfolio's risk metrics against a benchmark to evaluate relative performance, allocate risk budgets, and generate comparative risk reports for dashboards.

To start measuring portfolio drawdowns and tail risk, you need a time series of historical return data. The skill processes this input to compute drawdown analysis, VaR, and CVaR, applicable across intraday to annual horizons for automated monitoring and reporting.

Use historical VaR for portfolio risk assessment when you want to rely on actual empirical return distributions, and use parametric VaR when you assume returns follow a normal distribution. The skill also offers Cornish-Fisher VaR to adjust for skewness and kurtosis in return data.