Risk Parity Dashboard

Equal Risk Contribution Portfolio

Allocate capital so each asset contributes equally to total portfolio volatility. Compare ERC weights against naive equal-weight, inspect diversification ratio, and compute leverage required to hit a target volatility.

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RP Portfolio Vol
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annualised, unlevered
EW Portfolio Vol
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annualised, unlevered
Diversification Ratio
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risk parity portfolio
Leverage for Target Vol
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risk parity portfolio
Asset Count
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in universe
Risk Parity Weights
ERC allocation — each asset equates ~1/N risk
Equal Weight Comparison
Naive 1/N allocation for benchmark comparison
Risk Contributions (% of Total Portfolio Variance) Near-Equal by Construction
Diversification Ratio Gauge
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Risk Parity DR —
Equal Weight DR —
Undiversified (DR = 1) 1.00

The Diversification Ratio = weighted-average individual vol / portfolio vol. Risk Parity maximises the DR by construction. A DR above 1.30 indicates strong cross-asset diversification benefit.

Rebalancing Trades — EW → Risk Parity weight delta (notional)
Ticker EW Weight RP Weight Delta Action
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Leverage Note

Computing leverage requirements...

Methodology: Equal Risk Contribution (Maillard et al. 2010) via gradient-ascent convergence on risk weights. Covariance source: synthetic long-run estimates (annualised vols; off-diagonal filled from canonical asset-class pairwise correlations). Diversification Ratio = weighted-vol-sum / portfolio-vol (Choueifaty & Coignard 2008). hash: —