T429 · WealthTech · Cat-27 v1.0 · May 2026

Model Portfolio Risk Analytics

Calculate key risk and return metrics for a model portfolio of up to 8 asset classes. Outputs expected return, portfolio volatility, Sharpe ratio, maximum drawdown estimate, tracking error vs benchmark, and a simplified efficient frontier visualisation. Client-side. Zero PII.

📊Markowitz (simplified)
🎯Sharpe · VaR · RIY
📈Efficient Frontier
🔒Zero PII
Portfolio Analytics Sharpe Ratio VaR 95% WealthTech Cat-27
Educational / Planning Tool This tool uses user-entered return and volatility assumptions with a simplified Markowitz model (zero inter-asset correlation). Actual portfolio returns, volatility, and drawdowns will differ materially from estimates. Correlation between asset classes is assumed to be zero: this is conservative and will overestimate portfolio volatility vs. a diversified multi-asset portfolio. This is a planning and educational tool only. Not investment advice.
🔒 All inputs are processed locally in your browser. No data is transmitted. Do not enter real personal data — use synthetic or anonymised inputs only.
A: Portfolio Builder (up to 8 asset classes)
Weights must sum to 100%
# Asset Class Weight % Slider Ret % pa Vol % pa
Weights: 100.0%
B: Benchmark Allocation (Optional)
C: Parameters
UK/EU short-term rate default
Used for max drawdown & VaR
Portfolio Risk & Return Summary
Asset Allocation: Donut Chart
Risk Contribution by Asset Class
Efficient Frontier (Simplified 2-Asset Illustration)
Methodology
Expected Return Σ(weight_i × return_i): weighted average of user inputs.
Portfolio Volatility √Σ(weight_i² × vol_i²): zero-correlation Markowitz. Conservative; overstates risk vs diversified portfolio.
Sharpe Ratio (Portfolio Return − Risk-Free Rate) / Portfolio Volatility.
Max Drawdown (parametric) 2 × vol × √horizon: rough 95% confidence approximation for planning only.
VaR 1-year 95% Portfolio Value × (return − 1.645 × vol). Parametric normal distribution assumption.
Tracking Error √Σ(Δweight_i² × vol_i²) vs benchmark allocation.
Efficient Frontier Simplified 2-asset (highest-return vs lowest-vol asset). Illustrative only: full multi-asset frontier requires covariance matrix.
Sharpe Interpretation
Below 0Worse than risk-free rate.
0.0 – 0.5Poor risk-adjusted return.
0.5 – 1.0Adequate: typical multi-asset.
1.0 – 2.0Good risk-adjusted return.
Above 2.0Excellent: verify assumptions.
v1.0 · May 2026 · Cat-27 · WealthTech