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 | 198.90% | 1999-12-31 | 2021-12-31 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -9.9% | 15.1% | -0.72 | -207.8% | -4.79 | -14.0% | 15.1% | -0.93 | -6.1 |
| EFA | -139.51% | 2001-09-28 | 2021-12-31 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -4.1% | 17.7% | -0.31 | -121.1% | -1.78 | -18.9% | 17.7% | -1.07 | -6.0 |
| EEM | -199.34% | 2003-05-30 | 2021-12-31 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -4.8% | 21.7% | -0.32 | -119.9% | -1.48 | -24.3% | 21.7% | -1.12 | -5.1 |
| TLT | 19.80% | 2002-08-30 | 2021-12-31 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -6.5% | 13.2% | -0.56 | -117.2% | -4.22 | -10.5% | 13.2% | -0.80 | -6.0 |
| USO | 104.79% | 2006-05-31 | 2021-12-31 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 15.9% | 41.9% | 0.15 | -109.5% | 0.35 | 33.2% | 41.9% | 0.79 | 1.9 |
| GLD | 115.36% | 2004-12-31 | 2021-12-31 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.1% | 17.2% | -0.43 | -113.7% | -2.53 | -2.7% | 17.2% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 120.6% | 34.5% | 3.12 | -14.1% | 9.04 | 1.6% | 46.0% | -0.19 | -129.1% | -0.40 | 120.6% | 46.0% | 2.62 | 5.7 | ||
| EF | Normal Approximation | 105.7% | 46.1% | 105.7% | 46.1% | 1.86 | 4.0 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
