Measure shared movement across assets with flexible inputs. Compare matrices, returns, and weighted portfolio effects. Make diversification decisions using cleaner risk insights every time.
Use historical returns or manual volatility-plus-correlation inputs. The form uses a three-column layout on large screens, two columns on medium screens, and one column on mobile.
This sample uses monthly returns for four assets. The calculator example button loads similar data directly into the form.
| Month | Equity Fund | Bond Fund | Gold ETF | REIT Fund |
|---|---|---|---|---|
| Jan | 1.8% | 0.6% | 1.1% | 1.3% |
| Feb | 2.2% | 0.4% | 0.7% | 1.1% |
| Mar | -0.8% | 0.5% | 1.4% | -0.2% |
| Apr | 1.5% | 0.3% | -0.6% | 0.9% |
| May | 2.7% | 0.2% | 0.8% | 1.6% |
| Jun | -1.1% | 0.7% | 1.9% | -0.4% |
These formulas help explain how asset co-movement changes total portfolio risk. Positive covariance can amplify risk, while lower or negative covariance can improve diversification.
Portfolio covariance measures how asset returns move together. It helps explain whether combined assets increase, reduce, or stabilize total portfolio risk through shared return behavior.
Diversification works best when assets do not move in the same way. Lower or negative covariance can reduce total risk, even when individual assets remain volatile.
Covariance shows direction and magnitude in original units. Correlation standardizes that relationship to a scale between negative one and positive one for easier comparison.
Use historical mode when you have return series. Use manual mode when you already know asset volatilities and correlations from research, forecasts, or optimization assumptions.
Automatic normalization keeps the portfolio mathematically consistent. It rescales the weights so their total equals one, without changing their relative importance.
It represents the combined effect of cross-asset relationships on total variance. This value shows how pairwise asset interactions change portfolio risk beyond standalone asset variances.
Yes. You may enter values like 12% or 0.12. The calculator converts percentage entries into decimal form automatically before computing covariance and risk metrics.
Contribution share shows how much each asset adds to total portfolio variance. It is useful for risk budgeting, rebalancing, and concentration analysis.
Important Note: All the Calculators listed in this site are for educational purpose only and we do not guarentee the accuracy of results. Please do consult with other sources as well.