Apply it to your data 12
Which of the assets the largest contributor to the portfolio volatility?
Luke Moriarty
2025-11-15
Goal
Examine how each asset contributes to portfolio standard deviation. This is to ensure that our risk is not concentrated in any one asset.
1 Import stock prices
I chose the stocks NVDA, AMD, INTC, QCOM, AVGO
2 Convert prices to returns (monthly)
3 Calculate Component Contribution to Portfolio Volatility
## AMD AVGO INTC NVDA QCOM
## 2013-01-31 0.080042631 0.1223714652 0.020163978 0.000000000 0.0650839899
## 2013-02-28 -0.043228694 -0.0442994033 0.003056165 0.038221501 -0.0057723746
## 2013-03-28 0.023810626 0.0537862527 0.044951843 0.013338704 0.0232962308
## 2013-04-30 0.100643521 -0.1168096548 0.092225001 0.070706283 -0.0831349011
## 2013-05-31 0.349557500 0.1659704105 0.023060424 0.054651943 0.0300630275
## 2013-06-28 0.019802609 -0.0034660355 -0.002061167 -0.030166786 -0.0328479303
## 2013-07-31 -0.079021973 -0.0189038525 -0.037422924 0.028091751 0.0552468611
## 2013-08-30 -0.142285017 0.0486861036 -0.050298554 0.026270009 0.0315537320
## 2013-09-30 0.152839195 0.1180135578 0.041877095 0.053460228 0.0155692872
## 2013-10-31 -0.131658393 0.0531138243 0.065437917 -0.024065798 0.0317252443
## 2013-11-29 0.086012929 -0.0155281635 -0.016765202 0.032034285 0.0619536357
## 2013-12-31 0.061270767 0.1720590945 0.085192084 0.026567023 0.0090649756
## 2014-01-31 -0.120694197 0.0327408977 -0.056252553 -0.020176938 -0.0004042975
## 2014-02-28 0.078471606 0.1215179133 0.018415894 0.162107437 0.0143139039
## 2014-03-31 0.077759411 0.0472522625 0.041532338 -0.025903793 0.0509860864
## 2014-04-30 0.019753709 -0.0142292515 0.033526834 0.030788555 -0.0019040575
## 2014-05-30 -0.022250646 0.1069814395 0.031886369 0.032886467 0.0218654836
## 2014-06-30 0.046406386 0.0237165118 0.123136860 -0.024508609 -0.0104249068
## 2014-07-31 -0.069163352 -0.0380392648 0.092363936 -0.057729841 -0.0717018650
## 2014-08-29 0.064378658 0.1682174080 0.036569631 0.110060512 0.0372907384
## 2014-09-30 -0.201203738 0.0617384592 -0.002867590 -0.052782884 -0.0176313221
## 2014-10-31 -0.197092916 -0.0086583408 -0.023537600 0.057399208 0.0488087834
## 2014-11-28 -0.003577818 0.0796412087 0.097533083 0.074852686 -0.0683085472
## 2014-12-31 -0.043963081 0.0777644593 -0.026109707 -0.044864132 0.0194262638
## 2015-01-30 -0.038172628 0.0225100869 -0.093823577 -0.043318833 -0.1739886658
## 2015-02-27 0.190716820 0.2154939149 0.013483094 0.142698864 0.1491980815
## 2015-03-31 -0.148805873 -0.0020793897 -0.061395669 -0.052582140 -0.0388932929
## 2015-04-30 -0.170452010 -0.0828817621 0.040118124 0.058908311 -0.0195144091
## 2015-05-29 0.008810621 0.2365369893 0.064227056 0.001460067 0.0244058224
## 2015-06-30 0.051293347 -0.1050412801 -0.124698761 -0.095717139 -0.0997565017
## 2015-07-31 -0.217948801 -0.0603898557 -0.049530329 -0.007988068 0.0277138899
## 2015-08-31 -0.064193162 0.0066111036 -0.005990677 0.123595536 -0.1209125049
## 2015-09-30 -0.051002506 -0.0045199967 0.054546819 0.092150816 -0.0516843500
## 2015-10-30 0.209091727 -0.0151532122 0.116380937 0.140555230 0.1006595285
## 2015-11-30 0.107245540 0.0577498343 0.033540560 0.115405619 -0.1872812275
## 2015-12-31 0.195650415 0.1098534829 -0.009246386 0.038347355 0.0242976234
## 2016-01-29 -0.265854608 -0.0820945616 -0.104876457 -0.118048624 -0.0976334588
## 2016-02-29 -0.027651504 0.0019426033 -0.038432667 0.071923486 0.1228522712
## 2016-03-31 0.286513083 0.1458839261 0.089177337 0.127655003 0.0068674059
## 2016-04-29 0.219628629 -0.0583009811 -0.066126334 -0.002810615 -0.0121976639
## 2016-05-31 0.252565652 0.0573944161 0.050953615 0.276388290 0.0930620847
## 2016-06-30 0.117539811 0.0098648850 0.037588132 0.006188223 -0.0248882056
## 2016-07-29 0.288654408 0.0414702278 0.060911641 0.194443982 0.1554565731
## 2016-08-31 0.075772552 0.0853946797 0.036670175 0.073468484 0.0162516673
## 2016-09-30 -0.068510397 -0.0193429322 0.050526666 0.110693725 0.0825885307
## 2016-10-31 0.045269423 -0.0130689979 -0.079358520 0.037805177 0.0032065663
## 2016-11-30 0.208935186 0.0012322874 0.002655828 0.260525200 -0.0008317762
## 2016-12-30 0.241162087 0.0418736815 0.044251151 0.146436063 -0.0439580373
## 2017-01-31 -0.089419301 0.1209648314 0.015049958 0.022601840 -0.1990868293
## 2017-02-28 0.332469208 0.0557118716 -0.009868346 -0.071875032 0.0648197733
## 2017-03-31 0.006204787 0.0418879117 -0.003597875 0.070843928 0.0151117171
## 2017-04-28 -0.089826957 0.0084132949 0.002215826 -0.043434415 -0.0648404007
## 2017-05-31 -0.172743565 0.0811673907 0.006304419 0.326022467 0.0734190528
## 2017-06-30 0.109106841 -0.0229672700 -0.067885596 0.001453601 -0.0364519191
## 2017-07-31 0.086677465 0.0567578294 0.050003102 0.117044943 -0.0374547829
## 2017-08-31 -0.045855434 0.0216958139 -0.003862273 0.042639651 -0.0064321271
## 2017-09-29 -0.019418086 -0.0344605445 0.082343046 0.053601045 -0.0082607617
## 2017-10-31 -0.148545524 0.0844415855 0.177803302 0.145700216 -0.0161402494
## 2017-11-30 -0.009140779 0.0517968398 -0.008483369 -0.029244614 0.2711716586
## 2017-12-29 -0.057644734 -0.0721113336 0.029013141 -0.036583830 -0.0355975657
## 2018-01-31 0.290111036 -0.0351369419 0.041999690 0.239241007 0.0639819972
## 2018-02-28 -0.126279741 -0.0063499529 0.030369204 -0.014959436 -0.0402437449
## 2018-03-29 -0.186458876 -0.0303055057 0.055060083 -0.043969132 -0.1596271188
## 2018-04-30 0.079353598 -0.0267932458 -0.008871938 -0.029312924 -0.0827385041
## 2018-05-31 0.232656934 0.0941523477 0.072808495 0.115145353 0.1408822638
## 2018-06-29 0.087800110 -0.0248068108 -0.104756681 -0.062544570 -0.0350176128
## 2018-07-31 0.201155761 -0.0899383355 -0.032924189 0.033048637 0.1327960069
## 2018-08-31 0.317113754 -0.0124320601 0.012900459 0.137075292 0.0696065551
## 2018-09-28 0.204779675 0.1265663361 -0.023820678 0.001210488 0.0562520615
## 2018-10-31 -0.528461644 -0.0989279937 -0.008707877 -0.287373635 -0.1356953880
## 2018-11-30 0.156736193 0.0604219607 0.056809732 -0.253667337 -0.0764713024
## 2018-12-31 -0.143100857 0.0791298948 -0.049470051 -0.202283020 -0.0126468970
## 2019-01-31 0.279386699 0.0534831069 0.004040478 0.073973887 -0.1390945642
## 2019-02-28 -0.036716646 0.0261601209 0.123157930 0.071593908 0.0752467891
## 2019-03-29 0.081186244 0.0969599467 0.013876159 0.151870034 0.0775146704
## 2019-04-30 0.079439632 0.0571623731 -0.050803304 0.007987653 0.4122806346
## 2019-05-31 -0.007994204 -0.2353092450 -0.141405891 -0.288680035 -0.2538553762
## 2019-06-28 0.102547402 0.1440166062 0.083390790 0.192591791 0.1387505527
## 2019-07-31 0.002630713 0.0073722299 0.054473874 0.026972522 -0.0390050475
## 2019-08-30 0.032312988 -0.0256723979 -0.057400747 -0.006208219 0.0611068015
## 2019-09-30 -0.081448072 -0.0143598345 0.083330817 0.038414355 -0.0114372424
## 2019-10-31 0.157348653 0.0590061658 0.092607471 0.143946839 0.0531010666
## 2019-11-29 0.143100874 0.0767459323 0.032021818 0.076031689 0.0379340925
## 2019-12-31 0.158192829 0.0094771248 0.030536712 0.082163066 0.0622254907
## 2020-01-31 0.024554311 -0.0349689801 0.065947292 0.004790612 -0.0336550538
## 2020-02-28 -0.032874943 -0.1127575142 -0.136132734 0.133627316 -0.0857444145
## 2020-03-31 0.000000000 -0.1227417826 -0.025539560 -0.024248478 -0.1382768338
## 2020-04-30 0.141443063 0.1359220010 0.102807385 0.103279380 0.1509147321
## 2020-05-29 0.026557731 0.0698466088 0.053644600 0.194461882 0.0277044506
## 2020-06-30 -0.022367226 0.0905063808 -0.050515860 0.068216491 0.1279082409
## 2020-07-31 0.386468079 0.0036055022 -0.225946899 0.111189562 0.1465882923
## 2020-08-31 0.159505216 0.0916441182 0.072053062 0.231105530 0.1202103574
## 2020-09-30 -0.102282260 0.0573513188 0.016159047 0.011895567 -0.0066526427
## 2020-10-30 -0.085249927 -0.0411573597 -0.156470840 -0.076501290 0.0471380192
## 2020-11-30 0.207589583 0.1385315744 0.095180491 0.066921438 0.1764812282
## 2020-12-31 -0.010305505 0.0949541052 0.029950230 -0.025899910 0.0388330270
## 2021-01-29 -0.068478958 0.0284817336 0.108146710 -0.005010726 0.0255345005
## 2021-02-26 -0.013282561 0.0420978649 0.096749264 0.054293189 -0.1375985062
## 2021-03-31 -0.073771271 -0.0055179939 0.051622291 -0.026723382 -0.0220345729
## 2021-04-30 0.038975739 -0.0162203862 -0.106576618 0.117297970 0.0457721776
## 2021-05-28 -0.019048206 0.0347465551 -0.001012068 0.079071273 -0.0311725762
## 2021-06-30 0.159523669 0.0173004373 -0.017305753 0.208332079 0.0655836961
## 2021-07-30 0.122680138 0.0177923388 -0.044063118 -0.025494216 0.0469457962
## 2021-08-31 0.041774537 0.0240393641 0.012786467 0.138204162 -0.0209792901
## 2021-09-30 -0.073246845 -0.0177059867 -0.014533552 -0.077484784 -0.1240180697
## 2021-10-29 0.155648945 0.0920184038 -0.083740829 0.210396017 0.0309925420
## 2021-11-30 0.275527434 0.0405637895 0.011003653 0.245338733 0.3054132371
## 2021-12-31 -0.095815465 0.1901932345 0.045688066 -0.105149888 0.0164854016
## 2022-01-31 -0.230729542 -0.1272886112 -0.053441850 -0.183267031 -0.0396559687
## 2022-02-28 0.076555710 0.0026592016 -0.015619696 -0.004133520 -0.0216828737
## 2022-03-31 -0.120482480 0.0761771239 0.038252557 0.112575984 -0.1140126954
## 2022-04-29 -0.245712033 -0.1273434255 -0.128356434 -0.386065759 -0.0898352475
## 2022-05-31 0.174849100 0.0453838996 0.026735898 0.006717017 0.0249562515
## 2022-06-30 -0.286700804 -0.1691783396 -0.171751920 -0.208219156 -0.1091344596
## 2022-07-29 0.211383814 0.0973459606 -0.029844624 0.180792142 0.1271504503
## 2022-08-31 -0.107161630 -0.0703371327 -0.118815707 -0.185089406 -0.0867066540
## 2022-09-30 -0.292287949 -0.1086290426 -0.214021872 -0.217576600 -0.1576342774
## 2022-10-31 -0.053488672 0.0571406683 0.098233983 0.106044057 0.0405882369
## 2022-11-30 0.256609830 0.1588014844 0.069498764 0.226461877 0.0787198021
## 2022-12-30 -0.181111434 0.0229016950 -0.129028281 -0.146693652 -0.1402284841
## 2023-01-31 0.148643655 0.0452470530 0.066947614 0.290330166 0.1919921060
## 2023-02-28 0.044631101 0.0157384601 -0.113264229 0.172531518 -0.0754428507
## 2023-03-31 0.220952299 0.0836757896 0.270385294 0.179536463 0.0383494719
## 2023-04-28 -0.092284450 -0.0237227003 -0.050536389 -0.001008489 -0.0882804349
## 2023-05-31 0.279677610 0.2543637437 0.016246811 0.310008168 -0.0225331714
## 2023-06-30 -0.037054001 0.0763357547 0.061671827 0.111729823 0.0484499159
## 2023-07-31 0.004292397 0.0353588012 0.067356828 0.099530648 0.1046295093
## 2023-08-31 -0.078906991 0.0266163542 -0.014178264 0.054674122 -0.1361963560
## 2023-09-29 -0.027814218 -0.0999543117 0.011600071 -0.126218761 -0.0307660872
## 2023-10-31 -0.042923335 0.0129073788 0.026371980 -0.064546214 -0.0188145204
## 2023-11-30 0.207055468 0.0955511258 0.205944141 0.137050323 0.1752835351
## 2023-12-29 0.196105829 0.1917352680 0.117037006 0.057262875 0.1139788866
## 2024-01-31 0.128899206 0.0555394007 -0.153951666 0.217059118 0.0264734568
## 2024-02-29 0.138134928 0.0972266814 0.002230210 0.251388415 0.0656793114
## 2024-03-28 -0.064576574 0.0232303529 0.025683568 0.132939745 0.0704072138
## 2024-04-30 -0.130678165 -0.0191497126 -0.371303188 -0.044746403 -0.0205883898
## 2024-05-31 0.052397554 0.0215160664 0.016447718 0.238127472 0.2113709798
## 2024-06-28 -0.028502961 0.1925360925 0.003882183 0.119508719 -0.0241562072
## 2024-07-31 -0.115750773 0.0007906828 -0.007454249 -0.054220233 -0.0959882028
## 2024-08-30 0.027847841 0.0132306216 -0.326382133 0.019883146 -0.0317218954
## 2024-09-30 0.099365224 0.0610355701 0.062437778 0.017277928 -0.0252517406
## 2024-10-31 -0.130054782 -0.0159526937 -0.086314048 0.089122631 -0.0437543779
## 2024-11-29 -0.049005465 -0.0463545380 0.111152208 0.040520710 -0.0263943246
## 2024-12-31 -0.127240370 0.3606331958 -0.181905849 -0.028993106 -0.0262443752
## 2025-01-31 -0.040894471 -0.0466637674 -0.031410837 -0.111926736 0.1184047709
## 2025-02-28 -0.149389826 -0.1039204207 0.199921772 0.039598579 -0.0955588365
## 2025-03-31 0.028432293 -0.1718766200 -0.043934735 -0.141937962 -0.0175334879
## 2025-04-30 -0.053888788 0.1393750503 -0.122085482 0.004970099 -0.0341012963
## 2025-05-30 0.128782120 0.2292866468 -0.027744587 0.215623673 -0.0222035747
## 2025-06-30 0.248027705 0.1322559258 0.136085694 0.156363856 0.0984150406
## 2025-07-31 0.217121254 0.0634269180 -0.123379043 0.118521186 -0.0817395510
## 2025-08-29 -0.080766083 0.0124855590 0.206849966 -0.020963769 0.0909274244
## 2025-09-30 -0.005178555 0.1054873450 0.320504975 0.068827324 0.0401029311
## 2025-10-31 0.459346909 0.1136826174 0.175592624 0.081830418 0.0837902401
## 2025-11-21 -0.228605091 -0.0829688027 -0.147670141 -0.123975312 -0.1023553400## AMD AVGO INTC NVDA QCOM
## AMD 0.024257654 0.005227885 0.003571724 0.010406740 0.006640726
## AVGO 0.005227885 0.007718960 0.002395783 0.004908713 0.002931625
## INTC 0.003571724 0.002395783 0.009137458 0.003786168 0.002205372
## NVDA 0.010406740 0.004908713 0.003786168 0.014694214 0.005222503
## QCOM 0.006640726 0.002931625 0.002205372 0.005222503 0.009235837## [,1]
## [1,] 0.08309375## AMD AVGO INTC NVDA QCOM
## [1,] 0.03258714 0.01501549 0.01034287 0.01936894 0.005779311## [1] 0.08309375## # A tibble: 1 × 5
## AMD AVGO INTC NVDA QCOM
## <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 0.392 0.181 0.124 0.233 0.07## # A tibble: 5 × 2
## asset contribution
## <chr> <dbl>
## 1 AMD 0.392
## 2 AVGO 0.181
## 3 INTC 0.124
## 4 NVDA 0.233
## 5 QCOM 0.07## # A tibble: 1 × 5
## AMD AVGO INTC NVDA QCOM
## <dbl> <dbl> <dbl> <dbl> <dbl>
## 1 0.392 0.181 0.124 0.233 0.076 Plot: Colum Chart of Component Contribution and Weight
Which of the assets in your portfolio the largest contributor to the portfolio volatility? Do you think your portfolio risk is concentrated in any one asset?
From the bar chart, AMD is the largest contributor to portfolio volatility (Around 39-40% of the total risk).
On concentration, yes, risk is somewhat concentrated in AMD, because it contributes way more than any other single holding. That said, it is not only AMD. NVDA is also a meaningful chunk (around 23%), and AVGO is moderate (around 18%). INTC and QCOM are relatively small contributors.