VaR · Concentration · Stress Testing · Diversification · Beta
Portfolio β—
Risk
Performance
Planning
Activity
How spread out your money is across positions — too concentrated means one stock can sink the whole portfolio.
HHI Score
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Effective N
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of — positions
Max Weight
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Top-3 Weight
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of total portfolio
HHI Scale — lower is more diversified
Well Div. (<1000)ModerateConcentrated (>2500)
Fetching 252-day price history for VaR calculation…
Method: Historical simulation (non-parametric) over 252 trading days.
VaR = maximum expected 1-day loss at given confidence. CVaR (Expected Shortfall) = average loss when VaR is breached.
Ref: Rockafellar & Uryasev (2000), Basel III standard.
Computing scenarios…
Scenario shocks based on Damodaran sector betas and SPDR sector ETF peak-to-trough data.
Actual results will vary. Not investment advice.
Computing diversification ratio from price history…
Diversification Ratio = Σ(wᵢσᵢ) / σ_portfolio.
DR=1 means assets are perfectly correlated (no benefit from holding multiple positions).
DR→√N means maximum diversification (all uncorrelated).
Ref: Choueifaty & Coignard (2008).
Loading allocation data…
Computing performance attribution vs SPY…
Computing risk attribution…
Click tab to run Monte Carlo (10 000 simulations)…
Computing efficient frontier & rolling metrics…
Computing 5-factor model (Market · Size · Value · Momentum · Quality)…
Loading thesis signals…
Loading transaction history…
Loading P&L report…
Analysing portfolio…
Positions
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