Why is there no Sharpe ratio?

The Sharpe ratio's numerator is an average return, and its standard error depends only on the sample length. On a few years of data, the measurement behind this site found almost every issue's and basket's Sharpe ratio indistinguishable from zero, so it is not shown. Diversification does not shrink that standard error.

How is the benchmark chosen?

Pick one of the KOSPI 200 and the KOSDAQ 150; the default is the KOSPI 200. An index model has one benchmark, so every holding, whichever market it is listed on, is computed against that index. Switching it reloads the per-issue figures.

Do the weights have to add up to 100?

No. The entered weights are divided by their total so they sum to 100 before the calculation, and the entered total is shown under the table.

Where is my portfolio stored?

Only in this browser's storage, and it is never sent to the server. Copy link puts the issues and weights into the address so the same basket can be opened on another device.

Portfolio Analysis

Beta, volatility decomposition and risk contributions of a KOSPI basket

Search KOSPI- and KOSDAQ-listed issues to add them. Up to 30.

Benchmark

Every holding is computed against this one index. The default is the KOSPI 200.

Holdings0/30

Find an issue in the search box and add it to start the calculation.

Disclosures

Beta summarizes by regression how far the issue's return moved together with the KOSPI200 or KOSDAQ150 index return, and the index is only a stand-in for the whole market.
Beta and the intercept are computed from the sample of the chosen window and frequency and are not values for the period ahead.
Portfolio volatility is summed on the assumption that each issue's movement not explained by the index is unrelated to the others, so holding several issues that move together, such as one industry, gives a figure lower than the true one.
The portfolio's figures are the per-issue values summed with the weights the reader entered, and are neither a suggestion of weights nor values for the period ahead.
The indicator gets the frequency of days on which the loss exceeds the threshold right, but not when those days cluster.
Breaches arrive in clusters, so during unsettled stretches the realized breach rate runs above the stated level.
The interval shown beside each number is the sampling uncertainty of that window and not a range for how the number will move.

Overview

Add issues and enter weights, and the page shows how sensitive the basket is to the benchmark, what its volatility is and where it comes from, which issue carries what share of the risk, and the basket's own VaR, cVaR and past drawdowns. The arithmetic is a single-index model summing the beta and residual volatility each issue's detail page publishes, plus the per-issue risk estimator applied to the basket's daily series.

This screen describes risk and does not evaluate returns. Measures with an average return in the numerator, such as the Sharpe ratio or alpha, cannot be told apart from zero on a few years of data, so they are not shown.

Limits

There are three limits. First, each issue's movement not explained by the index is treated as unrelated to the others, so a basket of several issues from one industry shows a volatility lower than the true one. Second, beta and volatility are computed from the past sample of the chosen window and are not values for the period ahead. Third, the benchmark is one of the KOSPI 200 and the KOSDAQ 150 and every holding is computed against that one, so a KOSDAQ issue measured against the KOSPI 200, or the reverse, carries values that differ from the characteristic line on its own detail page. Volatility is computed from daily returns, so the index volatility here can differ from the efficient-frontier page's, which is computed from weekly returns. The list is stored only in this browser and is not sent to the server.

Frequently Asked Questions

Why is there no Sharpe ratio?: The Sharpe ratio's numerator is an average return, and its standard error depends only on the sample length. On a few years of data, the measurement behind this site found almost every issue's and basket's Sharpe ratio indistinguishable from zero, so it is not shown. Diversification does not shrink that standard error.
How is the benchmark chosen?: Pick one of the KOSPI 200 and the KOSDAQ 150; the default is the KOSPI 200. An index model has one benchmark, so every holding, whichever market it is listed on, is computed against that index. Switching it reloads the per-issue figures.
Do the weights have to add up to 100?: No. The entered weights are divided by their total so they sum to 100 before the calculation, and the entered total is shown under the table.
Where is my portfolio stored?: Only in this browser's storage, and it is never sent to the server. Copy link puts the issues and weights into the address so the same basket can be opened on another device.