Mean Variance Portfolio Optimization
Efficient Frontier Computation
Portfolio Weights and Metrics
| 10 month backtesting | 200 month backtesting | Metrics Used | |||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ticker | weight | mindate | maxdate | return | vol | sharpe | maxdd | kelly | return | vol | sharpe | maxdd | kelly | return | vol | sharpe | kelly |
| SPY | 200.77% | 2000-06-30 | 2020-04-30 | -14.0% | 4.8% | -2.97 | -13.4% | -62.25 | -7.7% | 15.2% | -0.57 | -169.4% | -3.77 | -14.0% | 15.2% | -0.92 | -6.1 |
| EFA | -108.70% | 2001-09-28 | 2020-04-30 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -1.9% | 18.0% | -0.19 | -102.4% | -1.06 | -18.9% | 18.0% | -1.05 | -5.8 |
| EEM | -220.53% | 2003-05-30 | 2020-04-30 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -3.1% | 22.5% | -0.24 | -105.1% | -1.09 | -24.3% | 22.5% | -1.08 | -4.8 |
| TLT | 9.87% | 2002-08-30 | 2020-04-30 | -10.5% | 6.9% | -1.54 | -11.0% | -22.28 | -7.9% | 13.3% | -0.65 | -113.0% | -4.88 | -10.5% | 13.3% | -0.79 | -5.9 |
| USO | 104.97% | 2006-05-31 | 2020-04-30 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 27.2% | 41.7% | 0.40 | -85.7% | 0.95 | 33.2% | 41.7% | 0.79 | 1.9 |
| GLD | 113.61% | 2004-12-31 | 2020-04-30 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.3% | 17.3% | -0.44 | -109.5% | -2.56 | -2.7% | 17.3% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 121.4% | 34.6% | 3.13 | -14.5% | 9.05 | 10.5% | 46.2% | -0.02 | -117.0% | -0.03 | 121.4% | 46.2% | 2.63 | 5.7 | ||
| EF | Normal Approximation | 105.1% | 46.4% | 105.1% | 46.4% | 1.84 | 4.0 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
