Model calculation workbench

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.

Reference inputs

Model / v1.0.0Equal-weight allocationInverse-volatility weightsTwo-asset minimum varianceIdentity-target covariance shrinkageTwo-asset portfolio varianceEuler volatility contributionsCapped volatility scalingZero-mean EWMA varianceUnivariate least-squares fitSingle-benchmark return betaSample tracking errorArithmetic information ratioGeometric return chainObserved-path maximum drawdownTwo-sided and one-way turnoverLinear rebalance cost dragInput object / JSON{ "weights": [ 0.6, 0.4 ], "covariance": [ [ 0.04, 0.006 ], [ 0.006, 0.01 ] ] }

Reset exampleExport JSON

Portfolio variance / model card

Calculated output

portfolio-variance / v1.0.0

Decimal inputs and outputs; no implied annual frequency.

variance	0.01888
volatility	0.13740451229854134

Two aligned long-only weights and a same-frequency covariance matrix. No additional annualization is applied.