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예시 포트폴리오 — 미국 분산 (AAPL · MSFT · SPY · TLT)

4 holdings$ 10,0002026.10.28 · 17:51
This is a "sample analysis". It is not based on your own portfolio — we are showing a pre-prepared analysis of 예시 포트폴리오 — 미국 분산 (AAPL · MSFT · SPY · TLT) for learning purposes. To analyze your own holdings, click the button on the right to go to the input page.All numbers were computed against real market data at the analysis time. The snapshot is fixed, so values may differ from the most recent market conditions.
Key metrics · annualized
Annual σ
15.43%
Prices swing an average of 15.4% up and down per year.
Expected μ
+11.45%
Past average implies +11.4% return per year.
Efficiency (Sharpe)
0.48
Earns 0.48 per unit of risk — moderate.
Market beta (β)
0.84
When the market moved 1%, you moved about 0.84% the same way on average.
α (Alpha)Not sig.
-2.76%
t = -0.79p = 0.434
You earned 2.76% a year less than your market beta alone would predict.

Volatility, expected return and Sharpe are the same figures as the Efficiency Check (Markowitz, 72 months). Market beta and alpha use the 70 months that overlap with the benchmark (US total market, 2020-11–2026-08).

Activation Guide
Guide: 3 changes to try after your result
CAPM · Quick guide

Markowitz starts from the mix of assets you hold and checks whether changing the weights could improve return for the risk. CAPM starts from the market and checks how sensitive your portfolio was to market moves, and whether you earned enough for taking that risk.

Markowitz can serve you better when you adjust your allocation, and CAPM when you check your exposure to market declines and your investment performance.

Visualization

The efficient frontier of the whole market

70 months · 2020-11–2026-08
9.2%12.5%15.7%19.0%22.2%25.5%σ 10.7%σ 16.7%σ 22.8%σ 28.8%μ ↑ ANNUAL RETURNσ → ANNUAL VOLATILITYOff chart: TLTEfficient frontierCapital market lineMarket portfolioAAPLMSFTSPYMy portfolio
Markowitz draws the efficient frontier from your holdings; this chart draws it from the whole US market (12 industries). The point where the curve touches the capital market line (the market portfolio) is the mix with the most return per unit of risk. At the same risk your portfolio sits 4.55pp a year below the line, so there is room to improve.

Benchmark: US total market · source Kenneth R. French Data Library
Market data runs through 2026-08, so this uses 2 fewer months than the Efficiency Check (72 months).

Before you readCAPM’s “market” is proxied by the whole stock market, so bonds, real estate and other assets are not in it. Market beta and alpha describe the last 70 months, and beta changes over time. Mixed KR–US portfolios combine returns in their own currencies, so exchange-rate effects are left out. This page is for education and information, not investment advice.
Interpretation
4 takeaways
EfficiencyBelow the capital market line — −4.55 pp a year

At the same volatility (σ 15.4%), you earned 4.55 pp a year less than the benchmark line that mixes the market portfolio with the risk-free asset. For your total volatility, the return fell short of the market. Try comparing a broad-market mix with your current one.

RiskMarket beta 0.84 — moves much like the market

When the market moved 1, your portfolio moved 0.84 on average. In a 20% market fall that points to a drop of about 16.8% (a simple calculation leaving out alpha and the risk-free return). Try it against your own amount in the Market shock scenarios tab.

DiversificationSpecific share 27% — mostly the market

72.6% of your volatility comes from market moves and 27.4% is the share a single market factor does not explain. If the specific share grows, use the market share (R²) in the By holding table to check whether you lean toward particular stocks or industries.

AlphaAlpha −2.76% — not significant

After removing what market beta explains, alpha is −2.76% a year, but with a p-value of 0.43 there is not enough evidence to tell it apart from zero. Rather than concluding there is no difference, read it as not yet enough evidence to judge.

Next step

Could size or value explain this alpha?

Run the same portfolio through the Return Driver Analysis (Fama–French 3F) to see how much of the alpha the market left unexplained is really size and value exposure.

FAQ

Frequently asked questions

Questions newcomers to this model commonly ask. Click any question to expand the answer.

Can I trade exactly the way the analysis suggests?
No, that is not recommended. Every analysis here is a statistical estimate based on historical market data, and it does not guarantee future returns or losses. Trading costs, taxes, FX costs, market impact, and your own investment goals and horizon are also not reflected. Use the results as a diagnostic of "what kind of risk and return profile this portfolio has", and before any real investment decision review your own situation and consider consulting a qualified professional.
Is a market beta below 1 a good thing?
It describes the portfolio rather than grading it. Market beta is how many percent your portfolio moved, on average, when the market moved 1%. Below 1, you fall less in down markets but also rise less in up markets; above 1, the reverse. In CAPM, expected return is proportional to beta, so lowering beta lowers expected return along with risk. The Market shock scenarios tab shows how far you would move if the market moved ±10% or ±20%.
My alpha is negative. Does that mean poor performance?
Check the p-value first. Alpha is the average yearly excess return left after market beta explains what it can (Jensen, 1968), and the p-value shows how likely that alpha arose by chance. A p-value of 0.05 or more means the alpha is hard to tell apart from zero, so neither a plus nor a minus can be called skill or failure. The shorter the record, the larger an alpha can be and still sit within chance swings. The By holding tab shows which holdings the alpha came from.
What are the market and stock-specific parts in the Risk split?
The portfolio's risk (variance) is split into the part that moved with the market (market part) and the part that moved independently of it (stock-specific part). The market part's share equals the regression's explanatory power (R²). CAPM holds that the market does not pay for stock-specific risk, because spreading money across holdings can remove it. A large stock-specific part may mean you carry a lot of unrewarded risk, so check each holding's market share in the By holding tab.
What does it mean if I sit below the capital market line in the Efficient frontier tab?
The capital market line is every mix of the risk-free asset and the market portfolio; in CAPM it is the highest return you can expect for a given risk. Sitting below it means that, over the same period, simply mixing a market index with short-term Treasuries would have earned more for the same risk. Sitting above it means your return for the risk beat the market's. This compares past records, so it does not promise the same going forward.
How is the benchmark market set when I hold both Korean and US stocks?
Monthly returns of the Korean and US markets are blended by your holding weights into a single benchmark market, and the whole portfolio is regressed on it at once. A blend of two markets is less volatile than either market alone, so Korean holdings can show a higher beta than they would against the Korean market by itself. Returns are blended in their own currencies, so exchange-rate effects are left out. The US market comes from the Kenneth French Data Library; the Korean market is DIVA's own calculation from every KRX stock. The curve on the Efficient frontier tab blends the two markets' 24 industries (12 each) by the same weights.
Why is the window for market beta and alpha shorter than for volatility and Sharpe?
Volatility, expected return and Sharpe come from the same price window as the Efficiency Check (Markowitz), but market beta and alpha use only the months that overlap with the benchmark data. US market data is usually published a month or two late, and DIVA updates the Korean market data separately, so the latest few months can be missing. The window is cut to the overlap so data from different sources is never mixed. Both windows are noted just below the metric strip.