Reference desk / edition 2026.10
Investment model catalogue
Sixteen original calculation cards, from allocation baselines to risk and implementation measures.
Synthetic educational references. Not a fitted investment strategy, forecast, provider model or client return. First publication: 2026-10-16. Model and engine version 1.0.0.
Equal-weight allocation
A transparent baseline that assigns identical capital weights to a declared number of assets.
Inverse-volatility weights
Normalize inverse standalone volatility while keeping the missing correlation assumption visible.
Two-asset minimum variance
Inspect the analytic long-only variance minimum for exactly two exposures.
Identity-target covariance shrinkage
Apply a declared convex shrinkage intensity without pretending it was statistically estimated.
Two-asset portfolio variance
Reconcile capital weights and covariance into a portfolio variance and volatility at the input frequency.
Euler volatility contributions
Attribute two-asset portfolio volatility to signed Euler contributions without equating risk share and capital share.
Capped volatility scaling
Translate a stated volatility estimate and target into a capped proportional exposure reference.
Zero-mean EWMA variance
Track an explicit initial variance through a zero-mean exponentially weighted update.
Univariate least-squares fit
Inspect an in-sample slope, intercept and fit summary for aligned numerical pairs.
Single-benchmark return beta
Calculate a descriptive raw-return sensitivity to one aligned benchmark series.
Sample tracking error
Measure dispersion of aligned arithmetic portfolio-minus-benchmark returns with explicit annualization.
Arithmetic information ratio
Relate mean active return to sample active-return dispersion under one declared scaling convention.
Geometric return chain
Reconcile sequential decimal returns to terminal wealth and an explicitly annualized equivalent.
Observed-path maximum drawdown
Find the deepest peak-to-observation decline in a finite nonnegative wealth path.
Two-sided and one-way turnover
Measure traded capital fractions from aligned drifted and target weights under a stated convention.
Linear rebalance cost drag
Convert a symmetric per-side basis-point cost and traded weights into a one-period return approximation.