Benchmark Volatility & Index Concentration Distortion Workbench
Diagnostic tool modeling mega-cap benchmark skew, HHI dilution, and pension risk distortion
ECONOMIST RISK ENGINE v7.1
Cap-Weighted Volatility
21.6%
Equal-Weighted Volatility
14.8%
Volatility Premium
6.8%
Herfindahl Index (HHI)
0.0238
Effective Constituents (N_eff)
42
Pension 1-Yr 95% VaR ($10M)
$3,553,200
Index Parameters
Reset
Market Presets
Modern US S&P
Equal Breadth
1999 Tech Peak
Global EAFE
Top-10 Stock Dominance
34.5%
Mega-Cap Annual Volatility
28.0%
Broad-Market Constituent Vol
16.5%
Pairwise Constituent Correlation
0.42
Pension Equity Pot ($USD)
$10,000,000
Concentration Risk Alert:
Benchmark volatility is amplified by
6.8%
over equal-weighted reality due to top-10 stock weight crowding.
Dynamic Volatility & Dispersion Path Simulation (D3.js)
●
Cap-Weighted
●
Equal-Weighted
Benchmark Variance Decomposition
Component Tier
Weight
Avg Vol
Risk Contribution
Pension Pot Allocation Stress Test
Allocation Strategy
Port. Vol
95% 1-Yr VaR
Max Est DD
Export CSV Report
Export JSON Audit
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