Portfolio Analyser | TheInvestmentAnalyst.com

Portfolio Construction

Asset Class Wt % iPortfolio Weight — % of total capital allocated to this position. All weights must sum to 100% for analytics to activate. Ret % iExpected Annual Return — your forward-looking return estimate for this asset per year. Pre-populated from historical data when a ticker is selected; edit freely. Vol % iAnnual Volatility (Std Dev) — annualised standard deviation of returns. Higher values mean wider price swings and greater uncertainty around the expected return. Beta iMarket Sensitivity — how much this asset moves relative to the broad market. 1.0 = lockstep with market; <1 = defensive; >1 = amplified moves; negative = inverse (hedges market falls). MDD % iMax Drawdown — the largest peak-to-trough loss this asset has historically experienced. A tail-risk anchor for stress-testing the portfolio against worst-case scenarios.

Total: 0%

Market Assumptions▾

Risk-Free Rate (%)iThe annualised return available on a riskless asset — typically the yield on short-dated government bonds (e.g. US 3-month T-bills or UK Gilts). Used as the baseline against which portfolio returns are judged. It is the denominator anchor for the Sharpe Ratio and the starting point for CAPM-based expected returns.

Market Return (%)iThe expected annual return of the broad market index (e.g. S&P 500 or MSCI World). Together with the Risk-Free Rate it defines the Equity Risk Premium (ERP = Market Return − Risk-Free Rate). Used in CAPM to derive an asset's expected return: E(r) = Rf + β × ERP. Historically the ERP has averaged around 4–6% per year for developed markets.

Target Return (%)iThe minimum annual return required to meet a specific investment objective — such as funding a liability, matching an inflation hurdle, or satisfying a mandate benchmark. Used to calculate the Sortino-style hurdle and to position the target line on the Efficient Frontier chart. Set to 0 if no specific return target applies.

Market Volatility (%)iThe annualised standard deviation of returns for the broad market index. Represents the overall level of market risk and is used as the benchmark volatility when assessing portfolio risk relative to the market. Typical long-run values are 14–18% for a diversified equity index; the figure rises materially during periods of stress.

Correlation Assumption (ρ)iControls how much diversification benefit is applied when calculating portfolio volatility. At 0 (uncorrelated) assets move independently and the model applies maximum diversification — this is the theoretical lower bound for portfolio risk. At higher values assets are assumed to move together, reducing diversification benefit. The formula blends both extremes: σ = √(ρ × σ_wtd² + (1−ρ) × Σ(wᵢσᵢ)²). A value of 0.3–0.5 is typical for a diversified multi-asset portfolio.

0.00 — uncorrelated

Analytics Dashboard

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Add at least 2 assets with weights summing to 100% to view portfolio analytics.