Balance risk and return with flexible inputs. Compare efficient portfolios, target returns, and Sharpe ratios. Plan better mixes using clear graphs and simple reports.
Use the responsive grid below. It shows three columns on large screens, two on smaller screens, and one on mobile.
Use this sample set if you want a quick demonstration before entering your own expected returns, volatilities, and correlations.
| Asset | Expected Return (%) | Volatility (%) |
|---|---|---|
| Equity Fund | 9.20 | 18.00 |
| Bond Fund | 4.80 | 7.00 |
| REIT Fund | 7.10 | 14.00 |
| Gold Fund | 5.20 | 12.00 |
| Correlation Example | Equity Fund | Bond Fund | REIT Fund | Gold Fund |
|---|---|---|---|---|
| Equity Fund | 1.00 | 0.20 | 0.35 | 0.10 |
| Bond Fund | 0.20 | 1.00 | 0.15 | 0.05 |
| REIT Fund | 0.35 | 0.15 | 1.00 | 0.12 |
| Gold Fund | 0.10 | 0.05 | 0.12 | 1.00 |
This calculator follows mean-variance portfolio theory and builds a covariance matrix from your volatility and correlation inputs.
Cov(i,j) = Vol(i) × Vol(j) × Corr(i,j)
E(Rp) = Σ [w(i) × E(Ri)]
Var(Rp) = w' × Σ × w and σp = √Var(Rp)
w = Σ⁻¹1 / (1'Σ⁻¹1)
w = Σ⁻¹(μ - rf1) / [1'Σ⁻¹(μ - rf1)]
The target-return model uses the closed-form efficient frontier solution with constants A, B, C, and D.
When short selling is disabled, negative weights are clipped to zero and the remaining weights are renormalized. That is practical for planning, but it is not a full quadratic-programming solver.
It estimates portfolio weights using mean-variance theory. You can solve for minimum variance, maximum Sharpe ratio, or an efficient portfolio that aims for a chosen expected return.
Volatility measures each asset’s individual risk. Correlation shows how assets move together. The model combines both to build covariance values and estimate total portfolio risk.
The Sharpe ratio compares excess return against volatility. A higher value means the portfolio is expected to produce more return for each unit of total risk taken.
The calculator removes negative weights and rescales the remaining positions to sum to 100%. This creates practical long-only weights, though it is an approximation rather than a strict optimization routine.
That usually happens when short selling is turned off. After clipping negative weights, the model renormalizes the portfolio, so the achieved return can move a little away from the requested target.
Yes, but keep all inputs on the same time scale. If you use monthly returns, monthly volatilities, and a monthly risk-free rate, the model stays internally consistent.
Risk contribution estimates how much each asset adds to total portfolio variance. It helps identify whether a small position is actually contributing a large share of portfolio risk.
It is a strong planning tool, but real decisions should also consider fees, taxes, liquidity, turnover, constraints, and scenario testing. Use it as an analytical model, not as sole advice.
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.