리스크 패리티 할당기 계산기
무료 리스크 패리티 할당기 계산기로 포트폴리오 배분을 최적화하세요: 변동성과 상관관계 데이터를 사용하여 자산 간 위험 기여도를 균형 있게 조정하고 분산된 올웨더 스타일 포트폴리오를 구축합니다.
결과를 보려면 0이 아닌 추정치가 있는 분기를 하나 이상 추가하세요.
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작동 방식
Risk parity allocates capital so that each asset contributes equally to the total portfolio risk. Unlike equal weight allocation: which gives each asset the same percentage of your capital: risk parity accounts for how assets move together through their correlation matrix. Low volatility assets get more capital; high volatility assets get less. Enter at least two sleeves such as US stocks, aggregate bonds, and gold with realistic volatilities. Three asset examples match common All Weather style teaching portfolios. Use annualized vol from five or ten year history rather than one volatile year unless you intentionally model a stress regime. Commodity and gold sleeves often receive higher weights than cap weight portfolios because vol is moderate and correlation to equities is low.
Enter each assets name and its annualized volatility (standard deviation percentage). Then fill in the correlation coefficients in the upper triangle of the matrix: these measure how assets move together. The calculator uses an iterative algorithm to find the weights where risk contribution is balanced across all assets. Review diversification ratio and portfolio vol versus equal weight to judge whether complexity earns its keep. Market weight comparison columns show how far risk parity deviates from cap weight assumptions. When convergence warning appears, verify vol inputs are positive and correlations stay within minus one to plus one. Equal risk contribution differs from equal volatility weighting because correlations change marginal risk contributions.
to judge whether complexity earns its keep. Market weight comparison columns show how far risk parity deviates from cap weight assumptions. When convergence warning appears, verify vol inputs are positive and correlations stay within minus one to plus one. Equal risk contribution differs from equal volatility weighting because correlations change marginal risk contributions.
입력값이 변경될 때마다 리스크 패리티 할당기을(를) 사용하세요: 시장 변동, 새로운 기여금 또는 수정된 개인 가정 후. 소프트웨어 설치 없이 빠른 재실행을 위해 페이지를 북마크하세요.
단계별 안내
- 리스크 패리티 할당기을(를) 열고 현재 입력값을 입력하세요.
- 계산된 출력과 요약 테이블을 검토하세요.
- 가정을 조정하고 시나리오를 나란히 비교하세요.
실전 예제
Risk parity allocates capital so that each asset contributes equally to the total portfolio risk. Enter the sample inputs described in How it works to reproduce the scenario step by step.
한 번에 하나의 입력을 조정하여 민감도를 확인하세요. 리스크 패리티 할당기은(는) 즉시 업데이트되므로 행동하기 전에 낙관적 및 보수적 가정을 스트레스 테스트할 수 있습니다.
이 계산기를 사용할 때
Reach for Risk Parity Allocator when allocate capital so each asset contributes equally to portfolio risk: using volatility and correlation data.. It suits quick what if analysis before trades, allocation changes, or plan updates.
결정이 세금, 유동성 또는 하나의 공식이 포착하는 것 이상의 다년 전망을 포괄할 때 관련 도구와 함께 사용하세요.
흔한 실수
입력 단위나 오래된 시장 가격을 확인하지 않고 출력을 복사하는 것은 리스크 패리티 할당기에서 흔한 오류입니다. 행동하기 전에 티커, 백분율 및 날짜를 확인하세요.
단일 기준 시나리오만 실행하면 꼬리 위험을 무시합니다. 보수적 입력으로 스트레스 테스트하고 결정이 중요할 때 아래 나열된 관련 도구와 비교하세요.
공식
wᵢ = unscaled risk parity weight for asset i
σᵢ = volatility of asset i
ρᵢⱼ = correlation between assets i and j
C = covariance matrix: Cᵢⱼ = ρᵢⱼ × σᵢ × σⱼ
Portfolio variance: σ²ₚ = wᵀCw
Marginal risk contribution: MRCᵢ = (Cw)ᵢ / σₚ
Risk contribution: RCᵢ = wᵢ × MRCᵢ
Risk contribution %: RC%ᵢ = RCᵢ / σₚ
Iterate: wᵢ ← wᵢ × target / RC%ᵢ, then normalize
Weights are iteratively adjusted until all assets contribute equally to total portfolio risk. Compare risk parity weights to equal weight to size rebalancing trades. Transaction costs and leverage are outside the model. Convergence tolerance stops when risk contribution percentages differ by less than one percent across assets or iteration cap hits. Report iteration count when auditing non converged results.
제한 사항 및 가정
Weights are iteratively adjusted until all assets contribute equally to total portfolio risk. Compare risk parity weights to equal weight to size rebalancing trades. Transaction costs and leverage are outside the model. Convergence tolerance stops when risk contribution percentages differ by less than one percent across assets or iteration cap hits. Report iteration count when auditing non converged results. Risk Parity Allocator does not replace personalized advice. Fees, slippage, account specific rules, and behavioral constraints may change real world outcomes.
주요 용어
- What is risk parity
- Risk parity is an allocation strategy where each asset contributes equally to the portfolios total risk, rather than an equal dollar amount.
- How is risk parity different from equal weight
- Equal weight assigns the same percentage of capital to each asset regardless of risk profile.
- 모델 가정
- The diversification ratio measures how much total portfolio volatility is reduced compared to the weighted average of individual asset volatilities.
대안 비교
Use Portfolio Rebalancer to implement weights, ETF Overlap Detector to avoid duplicate risk, Maximum Drawdown to stress test the mix, and Portfolio Beta for equity sleeve sensitivity after scaling on portfolios. Use those calculators when risk parity allocator alone does not capture the full decision.
portfolios.tools의 내부 링크는 계산기 체인을 도와줍니다: 먼저 리스크 패리티 할당기을(를) 실행한 다음, 아래 관련 섹션의 전문 도구로 엣지 케이스를 검증하세요.
FAQ
What is risk parity?
Risk parity is an allocation strategy where each asset contributes equally to the portfolios total risk, rather than an equal dollar amount. Assets with lower volatility receive higher capital allocations, while high volatility assets are scaled down. Bridgewater popularized the idea in All Weather portfolios mixing stocks, bonds, and inflation hedges. Leveraged risk parity funds use derivatives to hit target vol after scaling, which this unlevered calculator does not model. Unlevered risk parity often overweight bonds versus 60/40 when equity vol exceeds bond vol by a wide margin. Institutional implementations may add leverage back to hit equity like return targets after risk balancing.
How is risk parity different from equal weight?
Equal weight assigns the same percentage of capital to each asset regardless of risk profile. Risk parity assigns the same percentage of risk contribution. This means lower volatility assets get more capital, which typically results in a more balanced and stable portfolio. Equal weight tech heavy portfolios often carry far more risk than equal weight labels suggest. Risk parity often overweights bonds versus classic 60/40 when stock vol exceeds bond vol by a wide margin. Rebalancing frequency affects realized path even when target weights stay constant. Taxable accounts may prefer less frequent rebalancing than the model implies to reduce capital gains events.
What is the diversification ratio?
The diversification ratio measures how much total portfolio volatility is reduced compared to the weighted average of individual asset volatilities. A ratio above 1.0 indicates diversification benefit. Higher is better: it means the assets are not perfectly correlated. Ratios near 1.0 warn that risk parity offers little diversification gain. Crisis periods when correlations converge toward one shrink diversification ratio at the worst time. Report diversification ratio alongside weights when presenting allocation proposals. Compare risk parity portfolio vol to equal weight vol in the results panel to quantify volatility reduction from the algorithm.
What inputs do I need?
You need each assets annualized volatility (standard deviation of returns) and the correlation coefficients between every pair of assets. Volatility is typically 10 to 40% for stocks, 20 to 60% for crypto, and 3 to 8% for bonds. Correlation ranges from negative one to positive one. Use long sample windows but update after regime shifts such as 2022 bond stock correlation spikes. Estimated vol from Morningstar or broker tools is acceptable for exploratory weights. Covariance matrix must be positive semi definite; extreme correlation entries may break convergence.
Does it always converge?
The algorithm uses an iterative numerical method that converges for most realistic portfolios. If correlations are extreme or assets have zero volatility, it may not converge within the 200 iteration limit. The result will still be shown with a warning. Leveraged risk parity funds add another layer this calculator does not model. Re estimate inputs quarterly if you implement weights in live accounts. Transaction costs and tax drag from frequent rebalancing are outside the model. Start from equal weight seeds and iterate risk contributions until each asset contributes within one percent of target share of total portfolio variance.
이 리스크 패리티 할당기 계산기를 휴대폰이나 태블릿에서 어떻게 사용하나요?
예. 이 도구는 데스크톱과 동일한 공식으로 모바일 브라우저에서 완전히 실행됩니다. 선택적 localStorage는 브라우저 설정에서 활성화된 경우 기기에 입력값을 기억할 수 있습니다.
리스크 패리티 할당기을(를) 사용할 때 내 데이터는 어디에 저장되나요?
당사 서버 어디에도 없습니다. 계산은 브라우저에서 로컬로 실행됩니다. 선택적 localStorage는 기기에서만 양식 필드를 저장하며 네트워크를 통해 포트폴리오 번호를 전송하지 않습니다.
세금 또는 법적 결정에 리스크 패리티 할당기에 의존해야 하나요?
아니요. 이 도구는 교육용 수학만 제공합니다. 세법, 계좌 규칙 및 개인 상황은 다양합니다. 중대한 결과를 초래하는 거래 전에 자격을 갖춘 세무 또는 법률 전문가와 상담하세요.
관련 도구
Use Portfolio Rebalancer to implement weights, ETF Overlap Detector to avoid duplicate risk, Maximum Drawdown to stress test the mix, and Portfolio Beta for equity sleeve sensitivity after scaling on portfolios.tools when translating risk parity outputs into live account trades.