{"enrichment":{"faq":[{"a":"performance-metrics computes industry-standard risk-adjusted metrics including Sharpe ratio, Sortino ratio, Information ratio, Treynor ratio, Calmar ratio, Omega ratio, and capture ratios. Each metric measures returns relative to a specific type of risk\u2014total volatility, downside deviation, systematic risk, or drawdown\u2014so you can assess whether an investment's returns justify its risk exposure.","q":"How do I calculate risk-adjusted returns with performance-metrics?"},{"a":"performance-metrics distinguishes these two: Sharpe ratio penalizes all volatility equally, while Sortino ratio focuses only on downside deviation below a target return. Use Sharpe for broad volatility comparison; use Sortino when you care specifically about losses. Sortino often shows higher ratios because it ignores upside swings.","q":"What is the difference between Sortino ratio vs Sharpe ratio?"},{"a":"performance-metrics enables side-by-side comparison by calculating the same risk-adjusted metrics for each manager's portfolio. You can measure Information ratio (alpha per unit of tracking error), Treynor ratio (return per unit of beta), or capture ratios (upside/downside performance versus a benchmark) to assess skill and risk-taking behavior objectively.","q":"How does performance-metrics help compare two investment managers' risk?"},{"a":"performance-metrics includes Sortino ratio for downside deviation analysis, Calmar ratio for maximum drawdown performance, and upside/downside capture ratios for benchmark comparison. Capture ratios show what percentage of benchmark gains or losses a fund captured, isolating performance in rising and falling markets separately.","q":"Which performance-metrics apply to evaluate downside risk and capture ratios?"},{"a":"Yes. performance-metrics calculates return-per-unit-of-risk metrics like Sharpe ratio, Sortino ratio, and Treynor ratio. A higher ratio means better returns for the risk taken. Compare ratios across similar investments: if one has higher returns but lower ratio, its volatility may not be justified relative to alternatives.","q":"Can performance-metrics tell me if an investment's volatility is justified?"},{"a":"performance-metrics' Information ratio quantifies active management skill by dividing alpha (excess return over benchmark) by tracking error (volatility of that excess return). A higher Information ratio indicates the manager is generating consistent outperformance relative to their benchmark with controlled deviation from it.","q":"What does performance-metrics' Information ratio measure for active funds?"}],"shadow_tags":["risk-adjusted-metrics","portfolio-evaluation","alpha-generation","downside-protection","benchmark-comparison","volatility-analysis","drawdown-measurement","active-management","return-attribution"],"summary_rewrite":"Compute and interpret industry-standard risk-adjusted performance metrics for investment analysis. This skill covers Sharpe ratio, Sortino ratio, Information ratio, Treynor ratio, Calmar ratio, Omega ratio, and capture ratios\u2014each designed to measure returns relative to different types of risk. Use it to compare funds, assess manager skill, and understand whether volatility is justified by returns."},"files":[{"bytes":9416,"path":"plugins/wealth-management/skills/performance-metrics/SKILL.md","sha256":"4199faff9aa782de25bb9f6023c81d7526a685c4c3e3bdf57b5441517eca36e9","url":"https://skillfed.io/files/JoelLewis/finance_skills/performance-metrics/b1fdf26e/SKILL.md"}],"id":"JoelLewis/finance_skills/performance-metrics","links":{"html":"https://skillfed.io/JoelLewis/finance_skills/performance-metrics","md":"https://skillfed.io/JoelLewis/finance_skills/performance-metrics.md","repo":"https://github.com/JoelLewis/finance_skills"},"meta":{"agents_supported":[],"first_seen":"2026-07-28","forks":32,"language":"Python","last_updated":"2026-07-18","license":"MIT","name":"performance-metrics","publisher":"JoelLewis","stars":159},"relations":{"similar":[{"id":"HKUDS/Vibe-Trading/performance-attribution"},{"id":"JoelLewis/finance_skills/historical-risk"},{"id":"agiprolabs/claude-trading-skills/portfolio-analytics"},{"id":"JoelLewis/finance_skills/performance-attribution"},{"id":"kirkluokun/awesome-a-stock-openclawskills/data-\u56de\u6d4b\u6846\u67b6"},{"id":"gracefullight/stock-checker/backtesting-trading-strategies"},{"id":"JoelLewis/finance_skills/volatility-modeling"},{"id":"terrylica/cc-skills/mlflow-python"},{"id":"HKUDS/Vibe-Trading/fund-analysis"},{"id":"JoelLewis/finance_skills/statistics-fundamentals"}]},"slug":{"owner":"JoelLewis","repo":"finance_skills","skill":"performance-metrics"},"version":"b1fdf26e"}