Constant-weight history
How the Portfolio measures risk and return: today's weights, held constant, run back over the holdings' price history.
It answers how the portfolio you hold today would have behaved — not how your account actually did, since trades, deposits and timing are ignored. On a day when some holdings had not listed yet, the day's return is the weighted average of the holdings that did trade, scaled back up to 100%.
Formula
Day's return = Σ wᵢ × rᵢ ÷ Σ wᵢ, over the holdings with a price that day
How to use it
The honest basis for the volatility, Sharpe, drawdown and VaR of the current mix. The page states from which date the whole portfolio is represented.
Limitations
The early part of a long history may rest on only some of today's holdings. Correlation and risk contribution instead use only the days every holding shares — at least 40 of them.
In Kereon
Portfolio · Analytics and Risk. Sharpe, Sortino, Calmar, VaR, CVaR, volatility, drawdown, the capture ratios and the growth curve all read this series.
Also called: risk model, today's weights, constant weights, shared history, full portfolio from.