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Concept · Portfolio performance & risk decomposition

Portfolio variance decomposition

Splitting total portfolio variance into factor and residual shares, accounting for cross-position covariance. The portfolio-level analog of the single-stock decomposition.

In depth

The portfolio-level analog of the single-stock decomposition: aggregate position betas by weight, then split total portfolio variance into factor and residual shares — accounting for the covariance between positions.

Compute it with the API

POST /api/batch/analyze

# pip install riskmodels-py
client.batch_analyze(["NVDA","MSFT","AAPL"])

Full API docs ↗

In the methodology

Putting it together: the replication equation →

Referenced by (0)

No working paper references this concept yet.

Related concepts

Risk contributionPortfolio attributionActive shareTracking errorBenchmark fitSharpe ratioDrawdown
← DrawdownPortfolio performance & risk decomposition · 1 / 8Risk contribution →
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