Calculator

Weights from a table of returns

Paste a table of returns or choose a file. Press Calculate to get relative weights for each series under six methods, side by side.

Read this first

this is an educational calculator, not investment advice;
past returns do not predict weights that work;
results depend on window and units;
weights based on in-sample statistics overfit;
these figures carry no costs, taxes, leverage or position limits;
Returns you submit are sent to this site's server for the calculation and are not stored.

Your returns

Return table, as CSV text

Long form: a header of date,strategy,return with an optional asset column, which names the group. Wide form: a header of date, then one column per series, where an empty cell means missing. Comma or semicolon. Dates are YYYY-MM-DD. Returns are plain decimal numbers, with no percent sign and no decimal comma. Give each date and series one row. Limits: 2 MB, 50 series, 20000 rows or filled dates per series.

Or read a local file

This page reads the file and puts its text in the box above. Nothing is sent until you press Calculate.

Return units

One unit for the whole table. The calculator cannot detect mixed units, and a mix gives figures with no meaning.

Flat days

Zero: a table date a series lacks, inside its own first and last dates, counts as a zero return

Active: only dates with a value count

Window

Common: the dates every series holds

Own: the whole history of each series

Groups and exclusions

Group level: use the groups in the table

Exclude a series whose returns do not sum to a positive total

Maximum weight, in percent

Empty for none.

Risk-free rate per period

In the units of the table.

Threshold per period

In the units of the table.

This calculator needs its script. If this line stays, the script did not start.

Results

Per series

Series in the order of your table, with the weight under each method beside the name. Scroll the table sideways if it does not fit, to reach every weight and statistic. Mean, SD, Sharpe, Omega and skew are per period, read over the span used.

Percentages are rounded to two decimals for display, so a column can differ from its total by a few hundredths.

Bars

One panel per method, in one fixed order that carries no meaning. Each bar is a share of the full width.

How it works, in brief

Each method turns the returns you paste into relative weights using standard measures of risk and return: an equal split inside each group, volatility, the Sharpe and Omega ratios, and two that combine them. Your table and the settings you choose are the only inputs. Nothing here is a forecast, and costs are not included.

The weights are the visible part.

How they are made stays in the workshop. If you want the reasoning behind a result, this engine on your own book, or a system built for your desk, talk to me.

Talk to Adrian business@quantdevlabs.com