Share of risk
How much of the portfolio's volatility each position actually causes.
In the demo portfolio
68% for HLX
How it is computed here
Euler's decomposition of portfolio volatility: each weight multiplied by its marginal contribution. The parts add up to the total exactly, which is what makes the split honest rather than arbitrary.
Worked example
- HLX is 42% of the money.
- Its share of the risk is its weight × its marginal contribution to volatility ÷ the portfolio's volatility (Euler's decomposition).
- For HLX that gives 68% of the risk. The four shares add up to exactly 100%.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
It can be negative, and that is not an error: a holding that moves against the rest reduces total volatility, so cutting it would raise your risk.