Portfolio Standard Deviation Calculator
Estimate return volatility from your holding values, annual standard deviations and a common correlation assumption. This is a simplified long-only scenario, not a forecast of total risk.
Initial values are hypothetical. Use one common currency for all holdings; no conversion is performed. Results use the annual volatility convention you supply.
Portfolio Assets
The common-correlation model
Weights are each holding’s entered market value divided by the total. For annual return standard deviations σ and one common pairwise correlation ρ, variance = (1 − ρ) × Σ(wᵢ²σᵢ²) + ρ × (Σwᵢσᵢ)². The reported volatility is the square root, expressed as a percentage.
At ρ = 1, the long-only result equals the weighted sum of volatilities. At ρ = 0, the cross terms vanish. With one holding, its volatility is the portfolio volatility. A zero-volatility assumption contributes no modeled variance; it is not a statement that an asset is risk-free.
Use consistent inputs
- Enter nonnegative holding values in one currency and annual return volatilities. At least one value must be positive. Empty rows must be completed or removed.
- Choose a common correlation between zero and one. This is a scenario assumption for every pair, not an observed market statistic or a recommended number.
- Compare how the estimate changes when the assumptions change. For a heterogeneous portfolio, estimate a full covariance matrix from aligned returns instead of treating one average correlation as exact.
Volatility is one risk measure
Use return dispersion, not the standard deviation of raw price levels. Historical and implied volatility have different meanings and should not be mixed without a justified model. This calculator does not estimate expected return, tail loss, credit risk, liquidity or future correlations.
Investor.gov’s diversification overview explains spreading investments across holdings. A lower calculated standard deviation does not guarantee protection from losses.
Frequently Asked Questions
What does this calculator estimate?
It estimates portfolio return volatility from entered holding values, annual standard deviations and one common correlation applied to every asset pair. The inputs are assumptions; the tool does not fetch prices or historical returns.
Is a single correlation the average of all pairwise correlations?
Not generally. This model assumes every off-diagonal correlation is exactly the value entered. An unweighted average from a real matrix does not generally reproduce its portfolio variance. Use the full covariance matrix when pair relationships differ materially.
Which correlation values are supported?
This simplified long-only model accepts a common correlation from 0 to 1. It does not model negative pairwise correlations, short positions or leverage. Zero is a valid assumption; blank or out-of-range inputs are rejected rather than silently changed.
How should I choose the volatility inputs?
Use standard deviations of returns with a consistent sampling frequency, lookback, currency and annualization convention. Do not mix daily volatility with annual volatility or price-level standard deviation with return volatility. The initial values are illustrative, not estimates for stocks or bonds.
Does a lower result mean the portfolio is safe?
No. Standard deviation measures dispersion of returns, not every form of risk. It does not establish maximum loss, liquidity, credit safety, stable correlations or suitability. Historical estimates and assumed correlations can change.
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Review a Strategy’s Rules and Assumptions
Pineify’s Visual Editor builds supported indicator and strategy rules for TradingView. This volatility scenario is separate from strategy testing and does not establish a suitable risk profile or execute trades.