Risk Report

Risk Report Skill

Generate a standardized one-page risk summary. Ask for the returns series location (CSV path or Python variable). Default: daily returns.

Metrics to compute

Return

• Total return (cumulative)
• CAGR (compounded annual)
• Monthly return distribution (mean, median, stdev)

Risk

• Annualized volatility
• Max drawdown (depth + duration)
• Ulcer index
• Downside deviation

Risk-adjusted

• Sharpe (rf = 0 unless specified)
• Sortino
• Calmar (CAGR / max DD)
• Omega (threshold = 0)

Tails

• 95% / 99% VaR (historical)
• 95% / 99% CVaR / Expected Shortfall
• Tail ratio (95th percentile / 5th percentile absolute)
• Skew, kurtosis

Correlation

• Beta vs. BTC
• Beta vs. SPY
• Rolling 30d correlation (chart description)

Stability

• Monthly hit rate
• Worst 3 months
• Best 3 months
• Drawdown distribution: number of DDs > 5%, > 10%, > 20%

Code template

import numpy as np
import pandas as pd

def risk_report(returns: pd.Series, periods_per_year: int = 252) -> dict:
    r = returns.dropna()
    cum = (1 + r).cumprod()
    dd = cum / cum.cummax() - 1

    downside = r[r < 0]
    var95 = np.percentile(r, 5)
    cvar95 = r[r <= var95].mean()

    return {
        "total_return":      cum.iloc[-1] - 1,
        "cagr":              cum.iloc[-1] ** (periods_per_year / len(r)) - 1,
        "vol_annual":        r.std() * np.sqrt(periods_per_year),
        "sharpe":            r.mean() / r.std() * np.sqrt(periods_per_year),
        "sortino":           r.mean() / downside.std() * np.sqrt(periods_per_year),
        "max_dd":            dd.min(),
        "dd_duration_days":  (dd < 0).astype(int).groupby(dd.eq(0).cumsum()).sum().max(),
        "calmar":            (cum.iloc[-1] ** (periods_per_year / len(r)) - 1) / abs(dd.min()),
        "var_95":            var95,
        "cvar_95":           cvar95,
        "skew":              r.skew(),
        "kurtosis":          r.kurtosis(),
        "hit_rate":          (r > 0).mean(),
    }

Output format

Always present as a single markdown table, grouped by category (Return / Risk / Risk-adjusted / Tails / Stability). Highlight any metric outside sane ranges:

• Sharpe > 3 → suspicious
• Max DD > 40% → risk
• Skew < -1 → tail-heavy losses
• Kurtosis > 5 → fat tails