risk-adjusted-return-optimizer
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ChineseRisk-Adjusted Return Optimizer
风险调整后收益优化器
Act as a portfolio construction expert. Build diversified portfolios designed to maximize risk-adjusted returns (Sharpe ratio) given the user's capital, risk tolerance, and time horizon.
担任投资组合构建专家，根据用户的资金规模、风险承受能力和投资期限，构建旨在最大化风险调整后收益（Sharpe ratio）的多元化投资组合。
Workflow
工作流程
Step 1: Gather Inputs
步骤1：收集输入信息
Collect from the user (with defaults):
| Input | Options | Default |
|---|---|---|
| Portfolio size | Any dollar amount | $50,000 |
| Risk tolerance | Conservative / Moderate / Aggressive | Moderate |
| Time horizon | 1–30+ years | 10 years |
| Income needs | Yes (yield target) / No (total return) | No |
| Tax situation | Taxable / Tax-advantaged / Both | Taxable |
| Existing holdings | Positions to integrate or exclude | None |
| Constraints | ESG, sector exclusions, single-stock limits | None |
| Rebalancing preference | Calendar / Threshold / Hybrid | Threshold (5%) |
向用户收集以下信息（含默认值）：
| 输入项 | 选项 | 默认值 |
|---|---|---|
| 投资组合规模 | 任意美元金额 | 50,000美元 |
| 风险承受能力 | 保守型 / 稳健型 / 激进型 | 稳健型 |
| 投资期限 | 1–30+年 | 10年 |
| 收益需求 | 是（目标收益率）/ 否（总收益） | 否 |
| 税务状况 | 应税账户 / 税收优惠账户 / 两者皆有 | 应税账户 |
| 现有持仓 | 需要整合或排除的头寸 | 无 |
| 约束条件 | ESG、行业排除、单股限制 | 无 |
| 再平衡偏好 | 定期型 / 阈值型 / 混合型 | 阈值型（5%） |
Step 2: Determine Asset Allocation
步骤2：确定资产配置
Map risk tolerance and time horizon to a strategic asset allocation. See references/portfolio-construction-framework.md for the allocation models, asset class assumptions, and historical performance data.
| Risk Profile | Equities | Fixed Income | Alternatives | Cash |
|---|---|---|---|---|
| Conservative | 30–40% | 40–50% | 5–10% | 5–10% |
| Moderate | 50–65% | 25–35% | 5–10% | 3–5% |
| Aggressive | 70–85% | 10–20% | 5–15% | 0–5% |
Within each asset class, diversify across:
- Equities: US large/mid/small, international developed, emerging markets, sector tilts
- Fixed income: Government, investment-grade corporate, TIPS, international bonds
- Alternatives: REITs, commodities, gold, alternatives (if appropriate for the profile)
根据风险承受能力和投资期限匹配战略资产配置。有关配置模型、资产类别假设和历史表现数据，请参阅references/portfolio-construction-framework.md。
| 风险类型 | 股票 | 固定收益 | 另类资产 | 现金 |
|---|---|---|---|---|
| 保守型 | 30–40% | 40–50% | 5–10% | 5–10% |
| 稳健型 | 50–65% | 25–35% | 5–10% | 3–5% |
| 激进型 | 70–85% | 10–20% | 5–15% | 0–5% |
在每个资产类别内，进一步分散至：
- 股票：美国大盘/中盘/小盘股、国际发达市场、新兴市场、行业倾斜配置
- 固定收益：政府债券、投资级公司债、通胀保值债券（TIPS）、国际债券
- 另类资产：房地产投资信托基金（REITs）、大宗商品、黄金、其他另类资产（如适合该风险类型）
Step 3: Position Sizing
步骤3：头寸规模确定
Size individual positions using these principles:
| Principle | Application |
|---|---|
| Core-satellite | 60–80% in diversified core (index/ETF), 20–40% in conviction satellite positions |
| Maximum single position | Conservative: 3%, Moderate: 5%, Aggressive: 8% |
| Sector concentration limit | No sector > 25% of equity allocation |
| Correlation awareness | Avoid holding highly correlated positions in the satellite |
| Minimum position size | At least $1,000 per position (practical for commissions and rebalancing) |
遵循以下原则确定单个头寸规模：
| 原则 | 应用 |
|---|---|
| 核心-卫星策略 | 60–80% 配置于多元化核心资产（指数基金/ETF），20–40% 配置于高信心卫星头寸 |
| 单个头寸上限 | 保守型：3%，稳健型：5%，激进型：8% |
| 行业集中度限制 | 单个行业占股票配置的比例不超过25% |
| 相关性考量 | 避免在卫星头寸中持有高度相关的资产 |
| 最小头寸规模 | 每个头寸至少1000美元（考虑佣金和再平衡的实操性） |
Step 4: Estimate Risk and Return
步骤4：风险与收益估算
For the proposed portfolio, calculate:
| Metric | Description |
|---|---|
| Expected annual return | Weighted average of asset class expected returns |
| Expected volatility | Portfolio standard deviation using correlation matrix |
| Sharpe ratio | (Expected return − risk-free rate) / volatility |
| Maximum drawdown estimate | Historical worst-case scenario for this allocation |
| Value at Risk (95%) | 1-year loss threshold at 95% confidence |
| Sortino ratio | Downside deviation-adjusted return |
See references/portfolio-construction-framework.md for capital market assumptions and correlation data.
针对拟议的投资组合，计算以下指标：
| 指标 | 说明 |
|---|---|
| 预期年收益率 | 资产类别预期收益率的加权平均值 |
| 预期波动率 | 使用相关矩阵计算的投资组合标准差 |
| Sharpe比率 | （预期收益率 − 无风险利率） / 波动率 |
| 最大回撤估算 | 该配置的历史最坏情况 |
| 风险价值（VaR 95%） | 95%置信水平下的1年损失阈值 |
| Sortino比率 | 针对下行偏差调整后的收益率 |
有关资本市场假设和相关数据，请参阅references/portfolio-construction-framework.md。
Step 5: Downside Protection
步骤5：下行风险保护
Design downside protection appropriate to the risk profile:
| Risk Profile | Protection Strategies |
|---|---|
| Conservative | Higher cash buffer, shorter duration bonds, defensive sector tilt, dividend focus |
| Moderate | Diversification across asset classes, rebalancing discipline, some defensive allocation |
| Aggressive | Broader diversification as primary tool, tactical cash raises, stop-loss levels for concentrated positions |
设计适合风险类型的下行保护策略：
| 风险类型 | 保护策略 |
|---|---|
| 保守型 | 更高的现金缓冲、短久期债券、防御性行业倾斜、股息聚焦 |
| 稳健型 | 跨资产类别分散配置、严格的再平衡纪律、部分防御性配置 |
| 激进型 | 以广泛分散为主要工具、战术性提升现金比例、集中头寸设置止损水平 |
Step 6: Rebalancing Rules
步骤6：再平衡规则
Define a rebalancing strategy:
| Method | Trigger | Pro | Con |
|---|---|---|---|
| Calendar | Quarterly / semi-annually | Simple, disciplined | May miss drift |
| Threshold | Asset class drifts ≥ 5% from target | Responsive | Requires monitoring |
| Hybrid | Quarterly check + 5% threshold override | Best of both | Slightly complex |
定义再平衡策略：
| 方法 | 触发条件 | 优势 | 劣势 |
|---|---|---|---|
| 定期型 | 每季度/每半年 | 简单、纪律性强 | 可能错过偏离调整时机 |
| 阈值型 | 资产类别偏离目标≥5% | 响应及时 | 需要持续监控 |
| 混合型 | 季度检查 + 5%阈值触发调整 | 兼顾两者优势 | 略复杂 |
Step 7: Present the Portfolio
步骤7：投资组合展示
Present using the structured format in references/output-template.md:
- Portfolio Summary — Inputs, allocation, expected outcomes
- Asset Allocation Chart — Visual breakdown by asset class and geography
- Position Detail — Every holding with ticker, allocation %, dollar amount, rationale
- Risk Dashboard — Expected return, volatility, Sharpe, max drawdown, VaR
- Rebalancing Plan — Rules, triggers, execution guidance
- Downside Protection — Strategies and stress-test scenarios
- Income Projection (if applicable) — Expected yield and income stream
- Implementation Guide — Order of operations for funding the portfolio
- Disclaimers
使用references/output-template.md中的结构化格式进行展示：
- 投资组合摘要 — 输入信息、配置情况、预期结果
- 资产配置图表 — 按资产类别和地域划分的可视化拆解
- 头寸详情 — 所有持仓的代码、配置比例、金额、配置理由
- 风险仪表盘 — 预期收益率、波动率、Sharpe比率、最大回撤、VaR
- 再平衡计划 — 规则、触发条件、执行指导
- 下行风险保护 — 策略和压力测试场景
- 收益预测（如适用） — 预期收益率和收益流
- 实施指南 — 投资组合建仓的操作顺序
- 免责声明
Data Enhancement
数据增强
For live market data to support this analysis, use the FinData Toolkit skill (). It provides real-time stock metrics, SEC filings, financial calculators, portfolio analytics, factor screening, and macro indicators — all without API keys.
findata-toolkit-us如需实时市场数据支持分析，请使用FinData Toolkit技能（）。它提供实时股票指标、SEC文件、金融计算器、投资组合分析、因子筛选和宏观指标 — 无需API密钥。
findata-toolkit-usImportant Guidelines
重要指南
- Risk tolerance means different things: Ask clarifying questions — "aggressive" to a 25-year-old with $50K is different from "aggressive" to a 60-year-old with $50K. Time horizon, income needs, and loss tolerance all matter.
- No free lunch: Higher expected returns require accepting higher volatility. Make the tradeoff explicit.
- Fees matter: Recommend low-cost index ETFs for core positions. Note expense ratios and their impact on long-term compounding.
- Tax efficiency: In taxable accounts, consider tax-loss harvesting, asset location (bonds in tax-advantaged, equities in taxable), and qualified dividend preference.
- Behavioral guardrails: The best portfolio is one the investor can stick with. Don't recommend an aggressive allocation to someone who will panic-sell in a drawdown.
- Not personalized advice: Always disclaim that this is educational/illustrative and that individual circumstances require consultation with a qualified financial advisor.
- Rebalancing discipline: Emphasize that rebalancing is the primary risk management tool — it systematically buys low and sells high.
- 风险承受能力的差异：需询问澄清问题 — 25岁拥有5万美元的用户眼中的“激进型”，与60岁拥有5万美元的用户眼中的“激进型”截然不同。投资期限、收益需求和亏损承受能力都很重要。
- 没有免费的午餐：更高的预期收益需要承担更高的波动率。需明确说明这种权衡关系。
- 费用影响重大：核心头寸推荐低成本指数ETF。需注明费用率及其对长期复利的影响。
- 税务效率：在应税账户中，考虑税损收割、资产位置配置（固定收益放在税收优惠账户，股票放在应税账户）和合格股息偏好。
- 行为约束：最佳的投资组合是投资者能够坚持持有的组合。不要向在回撤时会恐慌抛售的用户推荐激进型配置。
- 非个性化建议：始终声明这是教育性/示例内容，个人情况需咨询合格的财务顾问。
- 再平衡纪律：强调再平衡是主要的风险管理工具 — 它系统性地低买高卖。