How many real bets, and who carries the risk
portfolio_structureHow many independent bets the holdings add up to (from how they move together, not how many tickers there are), each holding's share of the risk beside its share of the money, and the same over recent years only.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| base | No | Currency every figure is expressed in (USD, EUR, GBP, CAD…). Default USD. | |
| holdings | Yes | What is held: {ticker: weight or amount}. Weights need not sum to one; amounts in the base currency are also accepted (then the crises are shown in money). 1 to 100 holdings. Tickers as the exchange lists them (VOO, VWCE.DE, XAW.TO; 'CASH.USD' for cash). |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| data | No | Where the prices came from and what was missing or repaired. | |
| _fence | Yes | What these figures are and are not: descriptive, no forecast, no advice. Repeat its sense when presenting the result. | |
| recent | No | The same figures over the recent years only. | |
| max_weight | No | Its share of the money, 0 to 1. | |
| n_holdings | No | Holdings measured. | |
| effective_bets | No | Effective number of independent bets (from correlations, not the ticker count). | |
| max_risk_ticker | No | The holding carrying the largest share of the portfolio's risk. | |
| top_factor_share | No | Share of the movement explained by the single strongest common factor. | |
| max_weight_ticker | No | The largest holding by money. | |
| risk_contributions | No | [ticker, share of risk] pairs. | |
| max_risk_contribution | No | That holding's share of the risk, 0 to 1. |