Portfolio Optimization
A. Portfolio Selection
Simulate long-only portfolios using RiskSnap's existing correlation, volatility, EWMA return, dividend-yield and 1-year USD risk-free data. Each simulation is numbered so its Sharpe Ratio can be inspected independently.
Saved portfolios from this browser appear here.
Maximum 20 securities. Yahoo symbols separated by commas or spaces.
Ready.
Sharpe:
(weighted EWMA price return + weighted TTM dividend yield − 1Y USD risk-free rate)
÷ portfolio volatility.
Optimization and its volatility and Sharpe statistics currently use ordinary equities only.
Futures and equity options remain available in loaded portfolios and are shown separately,
but are excluded until combined derivative-risk calculations are connected.
Loaded Portfolio
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Maximum Sharpe
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Minimum Volatility
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Maximum Total Return
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Equal Weight
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Simulated Portfolios — Risk vs Total Return
Click a point to inspect that simulation. The light-blue point marks the maximum-Sharpe portfolio. Only a sample of points is drawn when many simulations are run.
Highest Sharpe Simulations
| Simulation | Total Return | Volatility | Sharpe | Largest Weight |
|---|
Portfolio Holdings
The displayed volatility and Sharpe use ordinary equities only. Futures units, agreed price, initial margin and current gain/loss are shown separately. Initial-margin defaults are IBKR Canada/US overnight requirements in USD as of September 20, 2026 and remain editable.
| Security | Weight | Local Price | Ccy | USD FX | USD Price | Target $ | Units | Agreed Price | Contracts | Initial Margin $ | Exposure $ | Current Value $ | EWMA Price Return | TTM Div Yield | Wtd Price Return | Wtd Div Yield | Variance Contribution |
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B. Risk Calculation — VaR
Calculate Historical VaR and Expected Shortfall for the selected preset, saved portfolio, or inspected simulation.
Historical VaR and Expected Shortfall
The inspected portfolio’s fixed holdings are marked to market on each historical date. Daily P&L is the current MTM minus the previous MTM. Observations are equally weighted and plotted chronologically. The current data service supplies a maximum 250-day history; this will be extended to two years later.
The solid red line is the 99% Historical VaR threshold. The dashed dark-red line is Expected Shortfall, the average of the worst 1% of observations. Red points are VaR breaches.
Historical Stress Period
Apply the inspected portfolio’s fixed holdings to a selected market episode. The scenario start date is the base valuation date; the first return and MTM change are shown on the following trading day. Prices and FX are cleaned separately on calendar dates, forward-filled, converted to USD, and then reduced to Monday–Friday observations.
Select scenario first
Securities without data at the start of the period are omitted and identified below.