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ABCDEFGHIJKLMNOPQRSTUVWXYZ
1
cash weightVolweighted vol
Just fixed income
weightweighted vol
2
BOBL0.066706512741.89%0.001260753091BOBL0.066706512740.068987207910.00130385823
3
BUND0.023975887024.85%0.001162830521BUND0.023975887020.024795622420.001202587687
4
US100.013700348434.54%0.0006218862159US100.013700348430.014168763240.000643148501
5
US200.0069959073889.07%0.0006345777715US200.0069959073880.007235097410.0006562739808
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KR30.22334961671.09%0.002424683439KR30.22334961670.23098593850.002507583348
7
KR100.057283773363.90%0.002236358512KR100.057283773360.059242305150.002312819593
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EDOLLAR0.5749282720.89%0.005128935115EDOLLAR0.5749282720.59458506540.005304293368
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CORN0.0176715426618.41%0.003253331005
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CRUDE_W0.00938544047725.74%0.002415812379
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GAS_US0.00600269916734.93%0.002096742819
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BOBLBUNDUS10US20KR3KR10EDOLLARCORNCRUDE_WGAS_US
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BOBL10.91230369150.63084355740.6258945510.2805819020.36025947340.5874927838-0.08608415823-0.1191219614-0.05558683929
17
BUND0.912303691510.75876456640.7879430170.3553641850.46123676020.7060656274-0.152042692-0.1658130255-0.06731088947
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US100.63084355740.758764566410.92402289750.41595021480.53995862480.9740970915-0.1117086973-0.2567707731-0.05375520125
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US200.6258945510.7879430170.924022897510.40211670040.5401980850.872358735-0.1247759135-0.2605295875-0.1049585706
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KR30.2805819020.3553641850.41595021480.402116700410.85266744790.3829664485-0.1637927789-0.05329224457-0.0380027699
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KR100.36025947340.46123676020.53995862480.5401980850.852667447910.5123328498-0.1568581113-0.0966559888-0.07906238002
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EDOLLAR0.58749278380.70606562740.97409709150.8723587350.38296644850.51233284981-0.08788338677-0.2408600511-0.05165446809
23
CORN-0.08608415823-0.152042692-0.1117086973-0.1247759135-0.1637927789-0.1568581113-0.0878833867710.06637433395-0.04918474461
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CRUDE_W-0.1191219614-0.1658130255-0.2567707731-0.2605295875-0.05329224457-0.0966559888-0.24086005110.0663743339510.2180837217
25
GAS_US-0.05558683929-0.06731088947-0.05375520125-0.1049585706-0.0380027699-0.07906238002-0.05165446809-0.049184744610.21808372171
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risk0.01092322134
Natural risk of entire portfolio
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how much cash? Formula only works if target<natural risk
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risk target10.00%
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Lev. Factor9.1548085360.00%
in cash, rest in portfolio
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32
If no leverage allowed:
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First ‘asset’ (commodities)
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sigma10.1463165272
previous calculation
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Second ‘asset’ (fixed income)
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sigma20.01136137508
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correlation-0.1203104995
simple block average
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a0.02193760495
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B-0.0006581596761
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C-0.009870919156
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root(b2-4ac)0.02943824849
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-b0.0006581596761
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2a0.04387520991
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weight0.6859547391
on asset 1 (commodities)
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New portfolio
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Original cash weight
… in sub portfolio
sub new wtweight
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BOBL0.066706512746.90%0.31404526092.17%
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BUND0.023975887022.48%0.31404526090.78%
60
US100.013700348431.42%0.31404526090.44%
61
US200.0069959073880.72%0.31404526090.23%
62
KR30.223349616723.10%0.31404526097.25%
63
KR100.057283773365.92%0.31404526091.86%
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EDOLLAR0.57492827259.46%0.314045260918.67%
65
CORN0.0176715426653.45%0.685954739136.67%
66
CRUDE_W0.00938544047728.39%0.685954739119.47%
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GAS_US0.00600269916718.16%0.685954739112.45%
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Commodities
CORNCRUDE_WGAS_US
93
CORN10.06637433395-0.049184744610
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CRUDE_W0.0663743339510.21808372170
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GAS_US-0.049184744610.218083721710
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97
IDM#DIV/0!
98
99
Original weight
ScalarScaledNormalised
100
Bonds0#DIV/0!
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