(Harvest) This Covariance matrix represents a Portfolio with Stocks and ETFs. The diagonal in the matrix that is highlighted are the calculated Variances of each security in the Portfolio. The Variance shows how far each security is from the mean and the Square Root of the Variance (SQRT) is the Volatility. The other outputs are the Covariances which show the degree in which two assets move together.
How Do You Calculate The Volatility Contribution Of Individual Assets In A Portfolio?
This entry was posted in Syndicated. Bookmark the permalink.