Portfolio Volatility Calculator
Portfolio Volatility: a planned Super Calculator tool. Covers asset weights (%). Stub page: the tool, its formula and a worked example are not published yet.
Portfolio Volatility Calculator is a planned calculator in the finance section of Super Calculator, covering investing and portfolio.
What this calculator will compute
Inputs: asset weights (%), asset volatilities (%) and correlation matrix.
Outputs: portfolio volatility (%), diversification benefit (%) and contribution to risk by asset (%).
Formula, recorded as scope and not yet verified against a primary source: Portfolio variance equals w transpose Sigma w, where Sigma is the covariance matrix, so volatility is not the weighted average of component volatilities and falls as correlations fall. Two asset case: sqrt(w1^2 s1^2 + w2^2 s2^2 + 2 w1 w2 rho s1 s2).
Status
This page is a stub. The calculator is not built, no figure on this page has been verified against the authority that sets it, and nothing here should be used to make a decision. The page exists so that the site structure is complete and so that articles can link this concept on first mention.
The stub carries noindex, nofollow and is excluded from the sitemap.