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 | 199.85% | 1999-12-31 | 2021-05-28 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -9.5% | 15.2% | -0.69 | -197.6% | -4.55 | -14.0% | 15.2% | -0.92 | -6.1 |
| EFA | -126.27% | 2001-09-28 | 2021-05-28 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -4.2% | 17.9% | -0.32 | -116.5% | -1.78 | -18.9% | 17.9% | -1.05 | -5.9 |
| EEM | -210.13% | 2003-05-30 | 2021-05-28 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -5.5% | 22.0% | -0.35 | -117.4% | -1.61 | -24.3% | 22.0% | -1.10 | -5.0 |
| TLT | 18.23% | 2002-08-30 | 2021-05-28 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -6.3% | 13.3% | -0.53 | -117.2% | -4.01 | -10.5% | 13.3% | -0.79 | -5.9 |
| USO | 104.75% | 2006-05-31 | 2021-05-28 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 18.0% | 42.1% | 0.19 | -85.7% | 0.45 | 33.2% | 42.1% | 0.79 | 1.9 |
| GLD | 113.57% | 2004-12-31 | 2021-05-28 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.6% | 17.3% | -0.46 | -113.7% | -2.65 | -2.7% | 17.3% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 121.3% | 34.8% | 3.12 | -14.4% | 8.96 | 6.1% | 46.0% | -0.10 | -122.9% | -0.22 | 121.3% | 46.0% | 2.63 | 5.7 | ||
| EF | Normal Approximation | 106.0% | 46.2% | 106.0% | 46.2% | 1.86 | 4.0 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
