{"uid":"cap_V0Ahli6IPsbl9AJyHWCOk","slug":"saylor-innovations-risk-metrics-calculator-ba21505c","name":"Saylor Innovations Risk Metrics Calculator","description":"Risk statistics for a price or return series: Sharpe, Sortino, Calmar, max drawdown, historical and parametric value at risk, CVaR, volatility and win rate.","url":"https://saylorinnovations.com/api/finance/risk-metrics?utm_source=zero.xyz","method":"GET","headers":{},"bodySchema":{"type":"object","$schema":"https://json-schema.org/draft/2020-12/schema","required":["input"],"properties":{"input":{"type":"object","required":["type","method"],"properties":{"type":{"type":"string","const":"http"},"method":{"enum":["GET"],"type":"string"},"queryParams":{"type":"object","required":["prices"],"properties":{"prices":{"type":"string","description":"comma-separated prices in time order (2-2000), or"},"periods_per_year":{"type":"string","description":"optional, 365 for daily crypto, 252 for stocks, 12 monthly"}}}},"additionalProperties":false},"output":{"type":"object","required":["type"],"properties":{"type":{"type":"string","const":"json"},"example":{"type":"object","required":["sharpe_ratio","max_drawdown_percent"],"properties":{"note":{"type":"string","description":"Plain-language caveat about how to read and use the result"},"source":{"type":"string","description":"Where the data or formula comes from"},"periods":{"type":"number","description":"Number of period returns analysed"},"calmar_ratio":{"type":["number","null"],"description":"Annualised return divided by the maximum drawdown, null if there was no drawdown"},"sharpe_ratio":{"type":["number","null"],"description":"Annualised excess return per unit of volatility, null if volatility is zero"},"sortino_ratio":{"type":["number","null"],"description":"Annualised excess return per unit of downside deviation, null if there is no downside"},"cvar_95_percent":{"type":"number","description":"Average loss in the worst 5% of periods (expected shortfall)"},"periods_per_year":{"type":"number","description":"Periods per year used for annualising"},"win_rate_percent":{"type":"number","description":"Share of periods with a positive return"},"best_period_percent":{"type":"number","description":"Best single-period return, in percent"},"max_drawdown_percent":{"type":"number","description":"Largest peak-to-trough fall of the compounded equity, in percent"},"total_return_percent":{"type":"number","description":"Compounded return over the whole series, in percent"},"worst_period_percent":{"type":"number","description":"Worst single-period return, in percent"},"max_drawdown_peak_index":{"type":"number","description":"Series position of the peak before the worst drawdown (0 is the first price)"},"annualized_return_percent":{"type":"number","description":"Compound annual growth rate implied by the series, in percent"},"max_drawdown_trough_index":{"type":"number","description":"Series position of the trough of the worst drawdown"},"var_95_historical_percent":{"type":"number","description":"One-period loss not exceeded 95% of the time, from the empirical distribution"},"var_95_parametric_percent":{"type":"number","description":"95% value at risk assuming normally distributed returns"},"var_99_historical_percent":{"type":"number","description":"One-period loss not exceeded 99% of the time, from the empirical distribution"},"annualized_volatility_percent":{"type":"number","description":"Standard deviation of returns scaled to a year, in percent"}}}}}}},"responseSchema":null,"example":null,"exampleRequest":null,"tags":["x402"],"displayCostAmount":"0.01","displayCostAsset":"USDC","priceDynamic":false,"priceHint":null,"priceStatus":"priced","priceSource":"probe","requiresHandshake":false,"reviewCount":0,"rating":{"score":"0.00","successRate":"0.00","reviews":0,"stars":null,"state":"unrated"},"availabilityStatus":"unknown","priceObserved":null,"sessionDeposit":null,"pricing":{"kind":"static","summary":"$0.01/call","primary":{"kind":"static","protocol":"x402","network":"base","amountUsd":"0.01","per":"call","confidence":"exact"},"accepted":[{"kind":"static","protocol":"x402","network":"base","amountUsd":"0.01","per":"call","confidence":"exact"}]},"paymentMethods":[{"uid":"pm_rm4lwdeCruZjFcQ1eWsPJ","protocol":"x402","methodType":"crypto","chain":"base","mode":"charge","costAmount":"0.01","costPer":"request","priority":0,"asset":"0x833589fCD6eDb6E08f4c7C32D4f71b54bdA02913","unit":"request","depositMicros":null,"planRef":null}],"brandName":null,"brandSlug":null,"brandBaseUrl":null,"brandDocsUrl":null,"whatItDoes":"Computes a comprehensive suite of financial risk statistics—Sharpe, Sortino, Calmar ratios, max drawdown, VaR, CVaR, volatility, and win rate—from a price or return series.","exampleAgentPrompt":"Can you calculate the Sharpe ratio, max drawdown, CVaR, and other risk stats for this price series: 100,102,101,105,103,108,107,110,109,115 — using 252 periods per year (daily stock data)?","exampleUseCases":[{"title":"Crypto portfolio risk assessment","prompt":"I have daily closing prices for my crypto portfolio over the last 90 days — here they are as a comma-separated list: 28000,28500,27900,29000,30000,29500,31000,30500,32000,31500. Can you compute the Sharpe ratio, max drawdown, CVaR at 95%, and win rate using 365 periods per year?"},{"title":"Backtest strategy performance evaluation","prompt":"I backtested a stock trading strategy and got these daily equity curve values: 10000,10200,10150,10400,10300,10600,10550,10800,10750,11000. What are the Sortino and Calmar ratios, volatility, and max drawdown? Use 252 periods per year."},{"title":"Monthly fund return risk analysis","prompt":"Here are 24 monthly NAV figures for a mutual fund I'm analyzing: 50,51,50.5,52,53,52,54,55,54.5,56,57,56,58,59,58.5,60,61,60,62,63,62.5,64,65,64. Can you give me the full risk metrics breakdown — Sharpe, Sortino, Calmar, max drawdown, and expected shortfall — using 12 periods per year?"}],"resultDescription":"A JSON object containing annualized Sharpe ratio, Sortino ratio, Calmar ratio, max drawdown percentage, historical and parametric value at risk, CVaR (expected shortfall at 95%), annualized volatility, win rate percentage, total return percentage, best single-period return, number of periods analyzed, periods per year used, data source attribution, and a plain-language note interpreting the results.","failureModes":["Fewer than 2 prices provided — insufficient data for return calculation","Non-numeric or malformed values in the comma-separated prices string","All returns are identical or zero — Sharpe/Sortino may return null due to zero volatility","No drawdown exists in the series — Calmar ratio returns null","Invalid periods_per_year value causing incorrect annualization","Request timeout if price series is very large (approaching 2000 entries)"],"whenToPreferThis":"Choose this endpoint when you need a full suite of quantitative risk statistics from a raw price or return series without building your own analytics pipeline. It is ideal for evaluating trading strategies, comparing portfolio risk, or performing due diligence on historical asset performance. Prefer it over general financial data APIs when you already have the price series and need computed risk metrics rather than raw market data retrieval.","instructions":null,"reviewSummary":null,"reviewSummaryHighlights":null,"reviewSummaryConcerns":null,"reviewSummaryGeneratedAt":null,"activationCount":0,"lastUsedAt":null,"lastSuccessfullyRanAt":null,"lastHealthCheckAt":"2026-10-30T07:21:49.649Z","isFirstParty":false,"canonicalSlug":"saylor-innovations-risk-metrics-calculator-ba21505c"}