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 | 201.11% | 1999-12-31 | 2020-12-31 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -9.0% | 15.3% | -0.66 | -182.6% | -4.28 | -14.0% | 15.3% | -0.92 | -6.0 |
| EFA | -119.93% | 2001-09-28 | 2020-12-31 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -3.6% | 18.1% | -0.29 | -104.8% | -1.59 | -18.9% | 18.1% | -1.04 | -5.8 |
| EEM | -215.50% | 2003-05-30 | 2020-12-31 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -5.3% | 22.3% | -0.34 | -106.1% | -1.53 | -24.3% | 22.3% | -1.09 | -4.9 |
| TLT | 15.09% | 2002-08-30 | 2020-12-31 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -7.2% | 13.2% | -0.61 | -117.2% | -4.60 | -10.5% | 13.2% | -0.79 | -6.0 |
| USO | 104.73% | 2006-05-31 | 2020-12-31 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 21.2% | 42.3% | 0.25 | -85.7% | 0.60 | 33.2% | 42.3% | 0.78 | 1.8 |
| GLD | 114.50% | 2004-12-31 | 2020-12-31 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.8% | 17.4% | -0.47 | -113.7% | -2.71 | -2.7% | 17.4% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 121.9% | 34.8% | 3.12 | -14.5% | 8.96 | 8.5% | 46.5% | -0.06 | -120.2% | -0.12 | 121.9% | 46.5% | 2.62 | 5.6 | ||
| EF | Normal Approximation | 106.0% | 46.6% | 106.0% | 46.6% | 1.85 | 4.0 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
