{"slug":"saylorinnovations-com-api-finance-risk-metrics-a2fc29","title":"Risk statistics for a price or return series","host":"saylorinnovations.com","method":"GET","resource":"https://saylorinnovations.com/api/finance/risk-metrics","category":"market","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.","price_listed":0.01,"price_asked":0.01,"state":"answering","state_label":"Answering","checks_7d":1,"answered_7d":1,"latency_ms_median":272,"reported_calls_30d":0,"reported_payers_30d":0,"networks":["eip155:137","eip155:42161","eip155:8453","solana:5eykt4UsFv8P8NJdTREpY1vzqKqZKvdp"],"badge":"unverified","paid_checks_7d":0,"paid_ok_7d":0,"example_input":{"method":"GET","queryParams":{"periods_per_year":"365","prices":"100,102,101,105,103,108,104,110,107,112"},"type":"http"},"output_schema":{"$schema":"https://json-schema.org/draft/2020-12/schema","properties":{"input":{"additionalProperties":false,"properties":{"method":{"enum":["GET"],"type":"string"},"queryParams":{"properties":{"periods_per_year":{"description":"optional, 365 for daily crypto, 252 for stocks, 12 monthly","type":"string"},"prices":{"description":"comma-separated prices in time order (2-2000), or","type":"string"}},"required":["prices"],"type":"object"},"type":{"const":"http","type":"string"}},"required":["type","method"],"type":"object"},"output":{"properties":{"example":{"properties":{"annualized_return_percent":{"description":"Compound annual growth rate implied by the series, in percent","type":"number"},"annualized_volatility_percent":{"description":"Standard deviation of returns scaled to a year, in percent","type":"number"},"best_period_percent":{"description":"Best single-period return, in percent","type":"number"},"calmar_ratio":{"description":"Annualised return divided by the maximum drawdown, null if there was no drawdown","type":["number","null"]},"cvar_95_percent":{"description":"Average loss in the worst 5% of periods (expected shortfall)","type":"number"},"max_drawdown_peak_index":{"description":"Series position of the peak before the worst drawdown (0 is the first price)","type":"number"},"max_drawdown_percent":{"description":"Largest peak-to-trough fall of the compounded equity, in percent","type":"number"},"max_drawdown_trough_index":{"description":"Series position of the trough of the worst drawdown","type":"number"},"note":{"description":"Plain-language caveat about how to read and use the result","type":"string"},"periods":{"description":"Number of period returns analysed","type":"number"},"periods_per_year":{"description":"Periods per year used for annualising","type":"number"},"sharpe_ratio":{"description":"Annualised excess return per unit of volatility, null if volatility is zero","type":["number","null"]},"sortino_ratio":{"description":"Annualised excess return per unit of downside deviation, null if there is no downside","type":["number","null"]},"source":{"description":"Where the data or formula comes from","type":"string"},"total_return_percent":{"description":"Compounded return over the whole series, in percent","type":"number"},"var_95_historical_percent":{"description":"One-period loss not exceeded 95% of the time, from the empirical distribution","type":"number"},"var_95_parametric_percent":{"description":"95% value at risk assuming normally distributed returns","type":"number"},"var_99_historical_percent":{"description":"One-period loss not exceeded 99% of the time, from the empirical distribution","type":"number"},"win_rate_percent":{"description":"Share of periods with a positive return","type":"number"},"worst_period_percent":{"description":"Worst single-period return, in percent","type":"number"}},"required":["sharpe_ratio","max_drawdown_percent"],"type":"object"},"type":{"const":"json","type":"string"}},"required":["type"],"type":"object"}},"required":["input"],"type":"object"},"history":[{"day":"2026-10-20","reachable":true,"status":402,"valid_402":true,"asked_usdc":0.01,"price_match":true,"latency_ms":272,"error":null}],"description_full":"Risk statistics for a price or return series: Sharpe, Sortino, Calmar, max drawdown, historical and parametric value at risk, CVaR, volatility and win rate.","last_updated":"2026-10-20T14:47:21.294Z","schemes":["exact"]}