Investment Portfolio Risk Assessment Calculator
ANA›Life Services Authority›National Calculator Authority›Investment Portfolio Risk Assessment Calculator
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Investment Portfolio Risk Assessment Calculator
Evaluate your investment portfolio's risk profile using standard financial metrics including portfolio volatility, Sharpe ratio, Value at Risk (VaR), and diversification score.
Asset 1 Name
Asset 1 Weight (%)
Asset 1 Expected Annual Return (%)
Asset 1 Annual Volatility / Std Dev (%)
Asset 2 Name
Asset 2 Weight (%)
Asset 2 Expected Annual Return (%)
Asset 2 Annual Volatility / Std Dev (%)
Asset 3 Name
Asset 3 Weight (%)
Asset 3 Expected Annual Return (%)
Asset 3 Annual Volatility / Std Dev (%)
Asset 4 Name (optional)
Asset 4 Weight (%)
Asset 4 Expected Annual Return (%)
Asset 4 Annual Volatility / Std Dev (%)
Correlation: Asset 1 & Asset 2 (-1 to 1)
Correlation: Asset 1 & Asset 3 (-1 to 1)
Correlation: Asset 1 & Asset 4 (-1 to 1)
Correlation: Asset 2 & Asset 3 (-1 to 1)
Correlation: Asset 2 & Asset 4 (-1 to 1)
Correlation: Asset 3 & Asset 4 (-1 to 1)
Risk-Free Rate (%) (e.g. T-bill rate)
Total Portfolio Value ($)
VaR Confidence Level (%)
90% 95% 99%
Calculate Risk Assessment
function invCalc() { // --- Gather inputs --- var names = [ document.getElementById('inv-asset1-name').value.trim() || 'Asset 1', document.getElementById('inv-asset2-name').value.trim() || 'Asset 2', document.getElementById('inv-asset3-name').value.trim() || 'Asset 3', document.getElementById('inv-asset4-name').value.trim() || 'Asset 4' ];
var weights = [ parseFloat(document.getElementById('inv-asset1-weight').value), parseFloat(document.getElementById('inv-asset2-weight').value), parseFloat(document.getElementById('inv-asset3-weight').value), parseFloat(document.getElementById('inv-asset4-weight').value) ];
var returns = [ parseFloat(document.getElementById('inv-asset1-return').value), parseFloat(document.getElementById('inv-asset2-return').value), parseFloat(document.getElementById('inv-asset3-return').value), parseFloat(document.getElementById('inv-asset4-return').value) ];
var vols = [ parseFloat(document.getElementById('inv-asset1-vol').value), parseFloat(document.getElementById('inv-asset2-vol').value), parseFloat(document.getElementById('inv-asset3-vol').value), parseFloat(document.getElementById('inv-asset4-vol').value) ];
var corr12 = parseFloat(document.getElementById('inv-corr12').value); var corr13 = parseFloat(document.getElementById('inv-corr13').value); var corr14 = parseFloat(document.getElementById('inv-corr14').value); var corr23 = parseFloat(document.getElementById('inv-corr23').value); var corr24 = parseFloat(document.getElementById('inv-corr24').value); var corr34 = parseFloat(document.getElementById('inv-corr34').value);
var rfRate = parseFloat(document.getElementById('inv-rf-rate').value); var portValue = parseFloat(document.getElementById('inv-portfolio-value').value); var confLevel = parseInt(document.getElementById('inv-confidence').value);
var resultDiv = document.getElementById('inv-result');
// --- Validation --- var errors = [];
for (var i = 0; i = 0.'); if (isNaN(returns[i])) errors.push(names[i] + ' return is required.'); if (isNaN(vols[i]) || vols[i] = 0.'); }
var totalWeight = weights.reduce(function(a,b){return a+b;}, 0); if (Math.abs(totalWeight - 100) > 0.01) { errors.push('Weights must sum to 100%. Current sum: ' + totalWeight.toFixed(2) + '%.'); }
var corrPairs = [corr12, corr13, corr14, corr23, corr24, corr34]; var corrNames = ['1&2','1&3','1&4','2&3','2&4','3&4']; for (var c = 0; c 1) { errors.push('Correlation ' + corrNames[c] + ' must be between -1 and 1.'); } }
if (isNaN(rfRate)) errors.push('Risk-free rate is required.'); if (isNaN(portValue) || portValue 0.');
if (errors.length > 0) { resultDiv.style.display = 'block'; resultDiv.innerHTML = 'Please fix the following:' + errors.map(function(e){return '';}).join('') + ''; return; }
// --- Convert to decimals --- var w = weights.map(function(x){return x/100;}); var r = returns.map(function(x){return x/100;}); var s = vols.map(function(x){return x/100;}); var rf = rfRate / 100;
// Build 4x4 correlation matrix var corrMatrix = [ [1, corr12, corr13, corr14], [corr12, 1, corr23, corr24], [corr13, corr23, 1, corr34], [corr14, corr24, corr34, 1 ] ];
// --- Portfolio Expected Return --- // E[Rp] = sum(wi * ri) var portReturn = 0; for (var i = 0; i 0) ? weightedAvgVol / portVol : 1; var divBenefit = (1 - portVol / weightedAvgVol) * 100; // % reduction in vol
// --- Sharpe Ratio --- // Sharpe = (E[Rp] - Rf) / sigma_p var sharpe = (portVol > 0) ? (portReturn - rf) / portVol : 0;
// --- Value at Risk (Parametric / Gaussian VaR) --- // VaR = Portfolio Value * sigma_p * z * sqrt(1) for annual // Daily VaR: sigma_daily = sigma_annual / sqrt(252) // z-scores for confidence levels var zScores = {90: 1.2816, 95: 1.6449, 99: 2.3263}; var z = zScores[confLevel]; var annualVaR = portValue * portVol * z; var dailyVol = portVol / Math.sqrt(252); var dailyVaR = portValue * dailyVol * z; var monthlyVol = portVol / Math.sqrt(12); var monthlyVaR = portValue * monthlyVol * z;
// --- Conditional VaR (CVaR / Expected Shortfall) --- // CVaR = Portfolio Value * sigma_p * phi(z) / (1 - confidence) // phi(z) = standard normal PDF at z function normPDF(x) { return Math.exp(-0.5 * x * x) / Math.sqrt(2 * Math.PI); } var alpha = (100 - confLevel) / 100; var annualCVaR = portValue * portVol * normPDF(z) / alpha; var dailyCVaR = portValue * dailyVol * normPDF(z) / alpha;
// --- Beta (vs equal-weighted market proxy) --- // Simplified: portfolio beta = weighted avg of individual betas // Using market vol = 15% (S&P 500 long-run avg) and corr with market // We approximate beta_i = (corr_i_market * sigma_i) / sigma_market // Since the calculator does not have market corr per asset, we use portfolio vol / market vol as proxy var marketVol = 0.15; var portBeta = portVol / marketVol; // simplified systematic risk proxy
// --- Risk Classification --- var riskLabel, riskColor, riskDesc; var annualVolPct = portVol * 100; if (annualVolPct 0) ? (w[i] * margCov / portVariance * 100) : 0; assetRows += '' + '' + names[i] + '' + '' + fmt(weights[i],1) + '%' + '' + fmt(returns[i],2) + '%' + '' + fmt(vols[i],2) + '%' + '' + fmt(riskContrib,1) + '%' + ''; }
// --- Build result HTML --- resultDiv.style.display = 'block'; resultDiv.innerHTML = '### Portfolio Risk Assessment Results ' +
'' + 'Risk Profile: ' + riskLabel + '' + '' + riskDesc + '' + '' +
'' + '' + 'Asset' + 'Weight' + 'Exp. Return' + 'Volatility' + 'Risk Contribution' + '' + '' + assetRows + '' + '' +
'' +
'' + 'Expected Annual Return' + '' + fmtPct(portReturn) + '' + '' + fmtDollar(portValue * portReturn) + ' projected gain' + '' +
'' + 'Portfolio Volatility (Annual)' + '' + fmtPct(portVol) + '' + 'Daily: ' + fmtPct(dailyVol) + ' | Monthly: ' + fmtPct(monthlyVol) + '' + '' +
'' + 'Sharpe Ratio' + '' + fmt(sharpe,3) + '' + '' + sharpeRating + '' + '' +
'' + 'Diversification Ratio' + '' + fmt(divRatio,3) + 'x' + 'Vol reduction: ' + fmt(divBenefit,1) + '%' + '' +
'' +
'#### Value at Risk (VaR) — ' + confLevel + '% Confidence ' + '' +
'' + 'Daily VaR' + '' + fmtDollar(dailyVaR) + '' + '' + fmtPct(dailyVaR/portValue) + ' of portfolio' + '' +
'' + 'Monthly VaR' + '' + fmtDollar(monthlyVaR) + '' + '' + fmtPct(monthlyVaR/portValue) + ' of portfolio' + '' +
'' + 'Annual VaR' + '' + fmtDollar(annualVaR) + '' + '' + fmtPct(annualVaR/portValue) + ' of portfolio' + '' +
'' +
'#### Conditional VaR / Expected Shortfall (CVaR) ' + '' +
'' + 'Daily CVaR' + '' + fmtDollar(dailyCVaR) + '' + 'Average loss beyond daily VaR' + '' +
'' + 'Annual CVaR' + '' + fmtDollar(annualCVaR) + '' + 'Average loss beyond annual VaR' + '' +
'' +
'#### Concentration & Diversification Metrics ' + '' +
'' + 'HHI Concentration Index' + '' + fmt(hhi,4) + ' (' + fmt(hhiPct,1) + '%)' + '' + concLabel + '' + '' +
'' + 'Portfolio Beta (Proxy)' + '' + fmt(portBeta,3) + '' + 'vs. 15% market vol benchmark' + '' +
''; }
#### Formulas Used
Portfolio Expected Return: E[Rp] = Σ wi · ri
Portfolio Variance (full covariance matrix): σp² = Σi Σj wi · wj · σi · σj · ρij
Sharpe Ratio: S = (E[Rp] − Rf) / σp
Parametric VaR (Gaussian): VaR = V · σp · zα · √T where zα = 1.645 (95%), 2.326 (99%), 1.282 (90%); T = time horizon in years
Conditional VaR / Expected Shortfall: CVaR = V · σp · φ(zα) / α where φ is the standard normal PDF and α = 1 − confidence level
Marginal Risk Contribution of Asset i: RCi = wi · (Σj wj · σi · σj · ρij) / σp²
Diversification Ratio: DR = (Σ wi · σi) / σp
Herfindahl-Hirschman Index (HHI): HHI = Σ wi² (0 = fully diversified, 1 = fully concentrated)
#### Assumptions & References
- Returns and volatilities are assumed to be annualized and normally distributed (Gaussian assumption).
- VaR is calculated using the parametric (variance-covariance) method; it does not capture fat tails or skewness.
- Daily volatility is derived as σannual / √252 (trading days); monthly as σannual / √12.
- Portfolio Beta is a simplified proxy using σp / σmarket with σmarket = 15% (long-run S&P 500 average).
- References: Markowitz (1952) Modern Portfolio Theory; J.P. Morgan RiskMetrics (1994); Basel III VaR guidelines; Rockafellar & Uryasev (2000) CVaR.
- This calculator is for educational purposes only and does not constitute financial advice.
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