One 10% risk budget, six names, six different weights

Run it yourself

This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.

WITH
    px AS
    (
        SELECT
            ticker,
            date                  AS d,
            toFloat64(any(close)) AS c
        FROM global_markets.stocks_daily_aggs
        WHERE ticker IN ('KO', 'SPY', 'MSFT', 'AAPL', 'NVDA', 'TSLA')
          AND date >= subtractYears(today(), 1)
          AND date <  today()
        GROUP BY ticker, d
    ),
    px_sorted AS
    (
        SELECT
            ticker,
            arraySort(p -> p.1, groupArray((d, c))) AS pts
        FROM px
        GROUP BY ticker
    ),
    vols AS
    (
        SELECT
            ticker AS symbol,
            arrayReduce('stddevSamp',
                arrayFilter(x -> abs(x) < 0.4,
                    arrayMap((a, b) -> log(b.2 / a.2),
                             arraySlice(pts, 1, length(pts) - 1),
                             arraySlice(pts, 2)))) * sqrt(252) AS ann_vol
        FROM px_sorted
    )
SELECT
    symbol,
    round(ann_vol * 100, 1)              AS realised_vol_pct,
    round(0.10 / ann_vol, 2)             AS raw_weight,
    round(least(0.10 / ann_vol, 2.0), 2) AS capped_weight
FROM vols
ORDER BY realised_vol_pct