Construction
READY
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Run construction to compare current, min volatility, max Sharpe, risk parity, tail-loss, and robust policies.
Portfolio Construction Lab
Build target policy portfolios with tail-risk objectives, constrained weights, rebalance simulation, and institutional diagnostics.
Construction policy
Objective, rebalance cadence, covariance model, and hard position limits.
Groups similar assets by historical correlation, then keeps the strongest candidates inside each group.
Help: diversification settings
- Enable clustering
- Groups assets that have moved similarly based on historical correlation. What it means: the optimizer avoids over-selecting many ETFs that are effectively the same exposure.
- Number of asset clusters
- Blank uses roughly half of the selected assets. More clusters usually preserve more distinct exposures; fewer clusters force more aggressive grouping.
- Cluster return range
- Keeps assets within this percentage of the best performer in each group. Higher values include more assets; lower values make the universe more selective.
Help: construction policy
- Minimum tail loss
- Minimizes historical expected shortfall in the worst return observations. What it means: this objective prioritizes crash containment over headline return.
- Risk model
- Shrinkage reduces noise in the covariance matrix. What it means: robust settings usually trade a small amount of theoretical precision for more stable weights.
- Position limits
- Hard min/max bounds applied to every ticker. What it means: limits prevent the optimizer from producing an allocation that is mathematically attractive but operationally too concentrated.
Target policy
Selected allocation, ex-ante risk, and realized policy backtest.
Run construction to produce a target allocation, realized policy path, and risk diagnostics.
Policy backtest path
Target policy, current portfolio, and benchmark indexed to the same start value.
Run construction to show the policy wealth path.
Efficient frontier
Expected return versus volatility, with every asset plotted against the frontier envelope.
Run construction to populate the efficient frontier.
Drawdown path
Peak-to-trough losses for target policy, current portfolio, and benchmark.
Run construction to show drawdowns.
Allocation drift & rebalance
How target weights drift between scheduled rebalances and reset at policy dates.
Run construction to show realized allocation drift.
| Ticker | Exp return | Volatility | Target weight | Target risk | Current weight | Min vol weight | Max Sharpe weight | Risk parity weight | Tail-loss weight |
|---|---|---|---|---|---|---|---|---|---|
| Run construction to populate allocation weights. | |||||||||
Construction readout
Run construction to select a target policy, stress its path, and compare concentration, turnover, return, volatility, and tail loss.