Target Weights

Global Equities %

Investment-Grade Bonds %

Alternatives / Real Assets %

Cash & Short-term %

Total: 100%

Capital Market Assumptions

Expected Returns (%/yr)

Global Equities %

IG Bonds %

Alternatives %

Cash %

Annualised Volatilities (%)

Global Equities %

IG Bonds %

Alternatives %

Cash %

Correlations

Equity–Bond

Equity–Alt

Bond–Alt

Risk-free rate %

Portfolio Results

–

Expected Return

–

Portfolio Volatility

–

Sharpe Ratio

Risk contribution by asset class

Asset class contributions

Asset class	Weight	Exp. return	Return contrib.	Volatility	Marginal risk contrib.

Expected return is the weighted average of CMA inputs. Portfolio volatility uses the 4-asset covariance matrix (cash assumed uncorrelated with all other assets). Sharpe ratio = (Expected return − Risk-free rate) / Volatility. Marginal risk contribution = (w × Σw) / σ_p per asset class. Results are illustrative — actual outcomes will differ.

What this tool calculates

The expected return is the weighted average of each asset class's expected return: E[R_p] = Σ w_i × E[R_i]. The portfolio volatility is the square root of the portfolio variance, computed from the full covariance matrix. For four asset classes with covariance matrix Σ and weight vector w: σ_p = √(wᵀ Σ w). Cash is assumed uncorrelated with all other asset classes. The Sharpe ratio measures risk-adjusted return: S = (E[R_p] − R_f) / σ_p. The marginal risk contribution of each asset class is its proportional contribution to total portfolio variance: MRC_i = (w_i × (Σw)_i) / σ_p, expressed as a percentage of total portfolio risk.

Use this tool to explore how different strategic asset mixes compare on a risk-adjusted basis before running full mean-variance optimization. The inputs are the same capital market assumptions (CMAs) your investment committee would use to set a formal policy portfolio. See Strategic Policy Portfolio Design for the framework behind the inputs.