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Portfolio risk metrics: state sample and tail assumptions
Calculate volatility, VaR/CVaR, drawdown, and risk-adjusted returns from aligned observations.
Skills
Verify return frequency, currency, gross/net basis, benchmark, cash-flow treatment, and missing values; align observations first. Specify whether VaR is historical, parametric, or another method, along with confidence, horizon, and sample window. Also calculate CVaR/Expected Shortfall and peak-to-trough maximum drawdown. State annualization and risk-free-rate assumptions for Sharpe/Sortino. Check tail limitations with stress scenarios and report units, sample size, and sensitivity. Metrics describe historical samples and do not recommend position sizes or trades.
Permissions
Prerequisites
- For calculating volatility, VaR/CVaR, drawdown, Sharpe/Sortino, and related portfolio risk.
- Specify return frequency, currency/benchmark, sample period, confidence, and missing-data policy.
Permissions
- May read supplied holdings/return series and calculate statistics.
- Metrics are sample-conditioned estimates, not guarantees or trading/position advice; bad inputs distort them.
Limitations
Validate net/gross returns, alignment, and currency; state VaR method/confidence/horizon and tail limits; compare like assumptions only.
Pinned upstream source
- Repository
- wshobson/agents
- File path
- plugins/quantitative-trading/skills/risk-metrics-calculation/SKILL.md
- Pinned commit
46891e7e60da0e52baf1050b7b6391b64e84c6d9- Source checked
- 2026-10-14 · Reviewed against the pinned upstream source
Repository metrics
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License: MIT
Compatible tools
Historical return series · Risk calculation notebook · Risk dashboard
Main topic
Build a reproducible crypto research workflow