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 | 204.14% | 1999-12-31 | 2020-07-31 | -14.0% | 4.8% | -2.97 | -13.4% | -62.25 | -8.3% | 15.2% | -0.62 | -169.4% | -4.07 | -14.0% | 15.2% | -0.92 | -6.1 |
| EFA | -114.63% | 2001-09-28 | 2020-07-31 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -2.6% | 17.9% | -0.23 | -102.4% | -1.28 | -18.9% | 17.9% | -1.05 | -5.9 |
| EEM | -220.87% | 2003-05-30 | 2020-07-31 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -4.2% | 22.5% | -0.29 | -105.1% | -1.31 | -24.3% | 22.5% | -1.08 | -4.8 |
| TLT | 12.31% | 2002-08-30 | 2020-07-31 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -7.9% | 13.3% | -0.66 | -114.3% | -4.96 | -10.5% | 13.3% | -0.79 | -5.9 |
| USO | 104.43% | 2006-05-31 | 2020-07-31 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 22.9% | 42.4% | 0.29 | -85.7% | 0.69 | 33.2% | 42.4% | 0.78 | 1.8 |
| GLD | 114.62% | 2004-12-31 | 2020-07-31 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -7.2% | 17.4% | -0.49 | -109.5% | -2.84 | -2.7% | 17.4% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 122.2% | 34.8% | 3.14 | -14.5% | 9.03 | 6.9% | 46.8% | -0.09 | -118.6% | -0.19 | 122.2% | 46.8% | 2.61 | 5.6 | ||
| EF | Normal Approximation | 105.7% | 46.9% | 105.7% | 46.9% | 1.83 | 3.9 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
