- Asset B weight
- 60 %
- Covariance
- 60 percentage points²
- Portfolio variance
- 128.8 percentage points²
- Portfolio model standard deviation
- 11.349 %
- Weighted standalone standard deviations
- 14 %
- Model reduction from weighted standalone
- 2.651 percentage points
- Asset A weighted volatility contribution
- 6.9081 percentage points
- Asset B weighted volatility contribution
- 4.4409 percentage points
Same-period model inputs, fully invested long-only weights. The calculation describes entered assumptions and does not forecast realised risk or select an investment.
Asset standard deviations and correlation stay fixed. The curve samples the supplied model and includes the entered weight, without assigning probabilities or recommending an allocation. This is an illustrative example.
- Portfolio model
- Weighted standalone
View the chart values
| Series | Asset A weight (%) | Standard deviation (%) |
|---|---|---|
| Portfolio model | 0 | 10 |
| Portfolio model | 5 | 9.8463191 |
| Portfolio model | 10 | 9.7877474 |
| Portfolio model | 15 | 9.825986 |
| Portfolio model | 20 | 9.9599197 |
| Portfolio model | 25 | 10.185774 |
| Portfolio model | 30 | 10.497619 |
| Portfolio model | 35 | 10.888067 |
| Portfolio model | 40 | 11.349009 |
| Portfolio model | 45 | 11.872237 |
| Portfolio model | 50 | 12.4499 |
| Portfolio model | 55 | 13.074785 |
| Portfolio model | 60 | 13.740451 |
| Portfolio model | 65 | 14.44126 |
| Portfolio model | 70 | 15.172343 |
| Portfolio model | 75 | 15.929532 |
| Portfolio model | 80 | 16.709279 |
| Portfolio model | 85 | 17.508569 |
| Portfolio model | 90 | 18.324847 |
| Portfolio model | 95 | 19.155939 |
| Portfolio model | 100 | 20 |
| Weighted standalone | 0 | 10 |
| Weighted standalone | 5 | 10.5 |
| Weighted standalone | 10 | 11 |
| Weighted standalone | 15 | 11.5 |
| Weighted standalone | 20 | 12 |
| Weighted standalone | 25 | 12.5 |
| Weighted standalone | 30 | 13 |
| Weighted standalone | 35 | 13.5 |
| Weighted standalone | 40 | 14 |
| Weighted standalone | 45 | 14.5 |
| Weighted standalone | 50 | 15 |
| Weighted standalone | 55 | 15.5 |
| Weighted standalone | 60 | 16 |
| Weighted standalone | 65 | 16.5 |
| Weighted standalone | 70 | 17 |
| Weighted standalone | 75 | 17.5 |
| Weighted standalone | 80 | 18 |
| Weighted standalone | 85 | 18.5 |
| Weighted standalone | 90 | 19 |
| Weighted standalone | 95 | 19.5 |
| Weighted standalone | 100 | 20 |
On this page
Enter compatible return inputs
Supply Asset A’s capital percentage; B receives the remainder. Enter both same-period standard deviations as percentages and correlation from −1 to 1. A correlation of 0.3 is entered as 0.3, not 30. These fields accept hypothetical assumptions as well as estimates, but do not validate the estimates.
Read variance and dispersion separately
The tool reports covariance and variance in percentage points squared, then standard deviation as a percentage. Its weighted standalone comparator is the sum of weighted asset standard deviations. The difference from portfolio standard deviation is on the volatility scale.
Inspect signed components
For positive total dispersion, the two weighted Euler components are expressed in percentage points and sum to model volatility before display rounding. Negative components remain negative. At zero total volatility, the ratios used for volatility components are undefined.
Read the sampled allocation curve
The figure varies Asset A’s weight while holding dispersions and correlation fixed. It includes the entered weight and sampled long-only weights. It is a scenario curve, not an optimized allocation, historical backtest or expected-return frontier.
Check the supplied model
Return periods and definitions must match. A zero-dispersion input makes its covariance product zero; an empirical correlation with a constant series would not be defined. The two-asset calculation does not check a larger covariance matrix or select an investment.