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 | 199.19% | 1999-12-31 | 2022-07-29 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -8.8% | 15.5% | -0.64 | -211.6% | -4.13 | -14.0% | 15.5% | -0.91 | -5.9 |
| EFA | -148.03% | 2001-09-28 | 2022-07-29 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -3.0% | 17.7% | -0.25 | -121.1% | -1.44 | -18.9% | 17.7% | -1.07 | -6.0 |
| EEM | -193.34% | 2003-05-30 | 2022-07-29 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -3.4% | 21.5% | -0.26 | -119.9% | -1.22 | -24.3% | 21.5% | -1.13 | -5.2 |
| TLT | 26.33% | 2002-08-30 | 2022-07-29 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -5.0% | 13.4% | -0.44 | -117.2% | -3.26 | -10.5% | 13.4% | -0.78 | -5.9 |
| USO | 105.27% | 2006-05-31 | 2022-07-29 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 12.7% | 41.6% | 0.08 | -149.7% | 0.19 | 33.2% | 41.6% | 0.80 | 1.9 |
| GLD | 110.58% | 2004-12-31 | 2022-07-29 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -5.6% | 17.0% | -0.41 | -113.7% | -2.42 | -2.7% | 17.0% | -0.16 | -1.0 |
| Portfolio | Monthly Rebalance Backtest | 119.7% | 34.4% | 3.11 | -14.0% | 9.04 | -2.2% | 45.8% | -0.26 | -157.0% | -0.57 | 119.7% | 45.8% | 2.62 | 5.7 | ||
| EF | Normal Approximation | 105.3% | 45.9% | 105.3% | 45.9% | 1.86 | 4.1 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
