Portfolio Construction
Asset Allocation Strategy
10-year capital market assumptions across 7 asset classes, 8 portfolio models, Monte Carlo simulation, and macro regime analysis. Toggle scenarios to see how allocations shift.
Last generated: 31 Jul 2026, 05:31 GMT-5 · 10Y horizon
Live CMA build · generated 48h ago (31/07/2026, 05:31:07)
Portfolio Return
11.7%
Max-Sharpe (MVO)
Portfolio Vol
13.6%
Annualised
Sharpe Ratio
0.56
Risk-adjusted
Risk-Free Rate
4.1%
US 2Y proxy
Forecast Horizon
10Y
Capital market assumptions
Strategic vs Tactical
SAA Neutral vs TAA Recommended
Strategic Asset Allocation (SAA) = the neutral long-term target from the selected model. Tactical Asset Allocation (TAA) = SAA plus tilts driven by live Momentum / Value / Carry Z-scores. Adjust the tilt cap to explore how aggressively you want tactical signals to deviate from neutral. Signals refresh daily.
SAA (Neutral) vs TAA (Tactical) Weights — %
- SAA
- TAA
Tactical Deviations (TAA − SAA) — %
Positive tilt (over-weight) driven by composite Z > 0 (momentum / value / carry favourable). Negative tilt (under-weight) on Z < 0.
Adjust building-block assumptions per asset class. Changes update the return decomposition and CMA table in real time.
Capital Market Assumptions
Return Decomposition
Building-block decomposition following GS 10-Year CMAs, BCA 7-Year SAA, and JPMorgan LTCMA methodology. Live inputs from FRED and IMF WEO.
- Earnings Growth
- Dividend Yield
- Valuation Change
- Roll/Other
- Defaults Adj
CMA Summary
Asset Class Forecasts
Click column headers to sort. Expected returns and volatilities shift with the selected scenario.
| Asset | Exp Return (%) ▼ | Volatility (%) | Sharpe |
|---|---|---|---|
| EM Equity | 12.84 | 20.79 | 0.420 |
| Private Equity | 11.92 | 22.35 | 0.349 |
| US Equity | 8.62 | 17.94 | 0.252 |
| Intl Developed | 8.13 | 17.00 | 0.236 |
| US Treasuries | 4.74 | 14.84 | 0.042 |
| US Credit | 4.61 | 8.69 | 0.058 |
| Commodities | 2.00 | 22.07 | -0.096 |
Risk-Return Space
Risk vs. Return
Each asset plotted by volatility (x) and expected return (y). Dot size reflects Sharpe ratio. Dashed line is the Capital Market Line.
Risk Attribution
% Risk Contribution vs Weight
Portfolio volatility decomposed to each asset's marginal contribution. Reveals the gap between how much an asset is owned (weight) and how much risk it actually drives (% contribution).
Weight vs % Risk Contribution
Factor Exposure
Style Factor Radar
Portfolio loadings on 5 style factors — Value, Momentum, Quality, Low-Vol, Size — built from synthetic long/short factor returns (IWD−IWF, MTUM−SPY, QUAL−SPY, SPLV−SPY, IJR−SPY). Each asset's daily excess return (vs SPY) is regressed on the factor set; portfolio loadings are the weighted sum.
Portfolio Factor Loadings (β, style-residual)
- MVO
- Risk Parity
Asset-Level Factor Loadings (raw β)
| Asset | Value | Momentum | Quality | LowVol | Size |
|---|---|---|---|---|---|
| US Equity | +0.000 | +0.000 | +0.000 | +0.000 | +0.000 |
| Intl Developed | +0.282 | +0.051 | +0.002 | +0.009 | +0.013 |
| EM Equity | +0.251 | +0.250 | -0.185 | -0.183 | -0.006 |
| US Treasuries | -0.278 | -0.078 | -0.039 | +1.199 | -0.087 |
| US Credit | -0.066 | -0.071 | -0.043 | +0.833 | -0.073 |
| Commodities | +0.756 | +0.019 | -0.503 | -0.036 | -0.280 |
| Private Equity | +0.116 | -0.040 | +0.140 | -0.196 | +0.270 |
Stress Tests
Historical Regime Scenarios
Realised per-asset and per-model total returns across five canonical crisis windows: GFC 2008, Euro Debt 2011, COVID 2020, 2022 Inflation Shock, 2023 Banking Stress. ETF-proxied, no fabrication.
Per-asset total return across each window (realised, ETF-proxied)
GFC 2008
2007-10-09 → 2009-03-09 · 356dEuro Debt 2011
2011-05-02 → 2011-10-03 · 108dCOVID Crash 2020
2020-02-19 → 2020-03-23 · 24d2022 Inflation Shock
2022-01-03 → 2022-10-14 · 198d2023 Banking Stress
2023-03-01 → 2023-05-31 · 64dModel Returns — every model across every window (Σ wᵢ·rᵢ)
- GFC 2008
- Euro Debt 2011
- COVID Crash 2020
- 2022 Inflation Shock
- 2023 Banking Stress
Negative bars = crisis losses. Positive bars = the model held up. Min-Var and All-Weather typically survive best; MVO and CVaR take the biggest hits in GFC because those optimisers concentrate in the recent best-Sharpe assets.
Macro Sensitivity
Tornado Chart — Shocks to CMAs
Impact of ±1pp shocks to macro drivers on asset-class expected returns. Computed live through the same building-block formulas used above. All values are deterministic — no placeholder scaling.
Δ Asset Expected Return (avg across applicable assets)
Regime-Dependent Correlations
Correlation Matrix by Regime
Daily ETF returns classified into macro regimes using VIX (<20 vs ≥20) and the 10Y−3M Treasury slope (steep vs inverted). Correlations recomputed on each regime's subset of trading days — shows how diversification breaks down in risk-off periods.
| Equity | Developed | Equity | Treasuries | Credit | Commodities | Equity | |
|---|---|---|---|---|---|---|---|
| US Equity | 1.00 | 0.79 | 0.72 | -0.21 | 0.04 | 0.24 | 0.76 |
| Intl Developed | 0.79 | 1.00 | 0.78 | -0.18 | 0.08 | 0.30 | 0.80 |
| EM Equity | 0.72 | 0.78 | 1.00 | -0.12 | 0.09 | 0.31 | 0.67 |
| US Treasuries | -0.21 | -0.18 | -0.12 | 1.00 | 0.83 | -0.20 | -0.18 |
| US Credit | 0.04 | 0.08 | 0.09 | 0.83 | 1.00 | -0.08 | 0.08 |
| Commodities | 0.24 | 0.30 | 0.31 | -0.20 | -0.08 | 1.00 | 0.24 |
| Private Equity | 0.76 | 0.80 | 0.67 | -0.18 | 0.08 | 0.24 | 1.00 |
Scenario Analysis
Bull / Base / Bear Comparison
Expected returns across all three scenarios side by side.
- Bull
- Base
- Bear
Peer Benchmarks
Allocation vs Institutional Peers
RoboMacro's allocation compared against published industry reference allocations: classic 60/40, Yale Endowment (FY24), US Public Pension average (NASRA FY23), UBS Global Family Office 2025. Private alternative sub-classes are consolidated into 'Private Equity' to match our 7-asset universe.
Allocation Comparison — % Weight
- RoboMacro
- 60/40 Benchmark
- Yale Endowment (FY24)
- US Public Pension (avg)
- UBS Global Family Office 2025
Deviation vs 60/40 Benchmark
Historical Context
Annual Asset-Class Return Ranking
Calendar heatmap of best-to-worst asset class by year, 2001 onwards (ETF-proxied). Green = best-performing that year, red = worst. The classic 'callan chart' view asset allocators use to see leadership rotation.
| Asset | 01 | 02 | 03 | 04 | 05 | 06 | 07 | 08 | 09 | 10 | 11 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | 23 | 24 | 25 | 26 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| US Equity | -12 | -22 | 28 | 11 | 5 | 16 | 5 | -37 | 26 | 15 | 2 | 16 | 32 | 13 | 1 | 12 | 22 | -5 | 31 | 18 | 29 | -18 | 26 | 25 | 18 | 9 |
| Intl Developed | — | -15 | 40 | 19 | 13 | 26 | 10 | -41 | 27 | 8 | -12 | 19 | 21 | -6 | -1 | 1 | 25 | -14 | 22 | 8 | 11 | -14 | 18 | 3 | 32 | 12 |
| EM Equity | — | — | — | 25 | 33 | 31 | 33 | -49 | 69 | 17 | -19 | 19 | -4 | -4 | -16 | 11 | 37 | -15 | 18 | 17 | -4 | -21 | 9 | 6 | 34 | 17 |
| US Treasuries | — | — | 2 | 9 | 9 | 1 | 10 | 34 | -22 | 9 | 34 | 2 | -13 | 27 | -2 | 1 | 9 | -2 | 14 | 18 | -5 | -31 | 3 | -8 | 4 | -3 |
| US Credit | — | — | 9 | 6 | 1 | 4 | 4 | 2 | 8 | 9 | 10 | 10 | -2 | 8 | -1 | 6 | 7 | -4 | 17 | 11 | -2 | -18 | 9 | 1 | 8 | -1 |
| Commodities | — | — | — | — | — | — | 32 | -46 | 11 | 7 | -3 | -1 | -2 | -33 | -34 | 10 | 4 | -14 | 16 | -24 | 39 | 24 | -6 | 9 | 6 | 39 |
| Private Equity | — | — | — | — | — | — | -14 | -65 | 30 | 26 | -21 | 30 | 38 | -5 | 1 | 10 | 24 | -15 | 36 | 12 | 24 | -37 | 38 | 17 | 6 | -9 |
Columns: calendar years (2001–2026). Cell value: annual total return in %. Colour: rank within year (green = best).
Portfolio Optimisation
Efficient Frontier
Efficient Frontier computed via Markowitz mean-variance optimisation (SLSQP). 40-point trace. Portfolio markers update with the selected scenario.
Model Comparison
Portfolio Allocations by Model
Asset weights for 8 models: MVO, Min-Var, Resampled MVO, CVaR, Black-Litterman, Risk Parity, All-Weather, HRP.
- US Equity
- Intl Developed
- EM Equity
- US Treasuries
- US Credit
- Commodities
- Private Equity
Model Scorecards
Side-by-Side Metrics
Every model's historical performance, diversification (HHI), and top-3 concentration in one sortable table. Click any column header to sort. Export CSV for client reports.
Side-by-side model metrics (10y historical, static weights)
| Model | CAGR | Sharpe ↓ | Max DD | Calmar | HHI | Top-3 % | Top-3 Holdings |
|---|---|---|---|---|---|---|---|
| Risk Parity | 5.92% | 0.63 | -24.03% | 0.25 | 0.170 | 61% | Private Equity 24%, US Treasuries 23%, EM Equity 14% |
| All-Weather | 5.26% | 0.59 | -25.20% | 0.21 | 0.232 | 70% | US Treasuries 41%, Private Equity 18%, Commodities 11% |
| Black-Litterman | 8.21% | 0.48 | -39.82% | 0.21 | 0.336 | 92% | US Equity 40%, US Credit 40%, Intl Developed 12% |
| HRP | 8.21% | 0.48 | -39.82% | 0.21 | 0.316 | 80% | US Treasuries 50%, Private Equity 21%, EM Equity 9% |
| Min-Var | 3.54% | 0.47 | -22.04% | 0.16 | 0.726 | 98% | US Treasuries 84%, EM Equity 12%, Commodities 2% |
| CVaR | 3.55% | 0.42 | -23.00% | 0.15 | 0.308 | 85% | Private Equity 46%, EM Equity 20%, Intl Developed 19% |
| Resampled MVO | 3.79% | 0.42 | -24.08% | 0.16 | 0.374 | 91% | Private Equity 53%, EM Equity 27%, Intl Developed 10% |
| MVO | 3.23% | 0.36 | -25.10% | 0.13 | 0.435 | 99% | Private Equity 58%, EM Equity 29%, Intl Developed 13% |
Black-Litterman
Equilibrium vs. Posterior Returns
Black-Litterman (He-Litterman 1999, Idzorek 2005). Edit views below to see the posterior update in real time.
- Equilibrium
- Posterior
- Market Cap
Simulation
Monte Carlo Wealth Projection
5,000 Cholesky-decomposed multivariate-normal paths over the 10-year horizon, conditioned on the current macro regime for years 1–5 (fades to unconditional by year 5). Percentiles are computed path-wise. Shortfall probability = fraction of paths ending below each threshold.
Portfolio Wealth Fan — 5,000 simulations, per $1 invested
- 5–95%
- 10–90%
- 25–75%
- Median
Shortfall probability — P(terminal < $X)
< $0.8
5.0%
< $0.9
5.0%
< $1.0
5.0%
< $1.2
5.0%
< $1.5
5.0%
< $2.0
11.9%
Max drawdown distribution across 5,000 paths
Worst 5%
-16.6%
25th
-9.3%
Median
-4.5%
75th
-0.4%
Best 5%
0.0%
Historical Analysis
Retroactive Backtest
How would today's optimised weights have performed over the past 10 years? CAGR, max drawdown, realised Sharpe, and Calmar ratio.
| Model | CAGR | Max DD | Sharpe | Calmar |
|---|---|---|---|---|
| MVO | 3.2% | -25.1% | 0.36 | 0.13 |
| Min-Var | 3.5% | -22.0% | 0.47 | 0.16 |
| Black-Litterman | 8.2% | -39.8% | 0.48 | 0.21 |
| Risk Parity | 5.9% | -24.0% | 0.63 | 0.25 |
| All-Weather | 5.3% | -25.2% | 0.59 | 0.21 |
| HRP | 8.2% | -39.8% | 0.48 | 0.21 |
| CVaR | 3.5% | -23.0% | 0.42 | 0.15 |
| Resampled MVO | 3.8% | -24.1% | 0.42 | 0.16 |
- MVO
- Min-Var
- Black-Litterman
- Risk Parity
Retroactive analysis using today's optimised weights applied to historical prices. This is not a live track record.
Macro Regime
Regime Radar & Indicators
Six-axis regime score (0–100) from FRED. Live VIX, 10Y yield, and S&P 500 overlay refreshed every 5 minutes.
Regime Scores (0–100)
Current Macro Indicators
Live 05:32 UTCUnemployment Rate
4.20
Fed Funds Rate
3.63
US 10Y Yield
LIVE4.75
HY Spread
287bps
VIX
LIVE15.99
Industrial Production YoY
1.1%
Tactical Signals
Signal Heatmap
Z-scores computed daily from cached market data. Momentum / Value / Carry.
Tactical Signal Heatmap (z-scores)
Diversification
Correlation Matrix
Pairwise correlations from realised daily returns (Ledoit-Wolf shrinkage).
Institutional allocation command center. 8 portfolio models · 7 asset classes · 10-year horizon. Generated 31 Jul 2026. For informational purposes only. Not investment advice.
