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 | 199.33% | 1999-12-31 | 2021-08-31 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -9.8% | 15.1% | -0.72 | -202.9% | -4.74 | -14.0% | 15.1% | -0.93 | -6.2 |
| EFA | -133.64% | 2001-09-28 | 2021-08-31 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -4.2% | 17.7% | -0.32 | -120.0% | -1.81 | -18.9% | 17.7% | -1.06 | -6.0 |
| EEM | -202.99% | 2003-05-30 | 2021-08-31 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -5.2% | 21.9% | -0.34 | -119.9% | -1.55 | -24.3% | 21.9% | -1.11 | -5.1 |
| TLT | 17.36% | 2002-08-30 | 2021-08-31 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -6.6% | 13.3% | -0.56 | -117.2% | -4.25 | -10.5% | 13.3% | -0.79 | -6.0 |
| USO | 104.94% | 2006-05-31 | 2021-08-31 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 17.2% | 41.9% | 0.18 | -97.4% | 0.42 | 33.2% | 41.9% | 0.79 | 1.9 |
| GLD | 115.00% | 2004-12-31 | 2021-08-31 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.2% | 17.3% | -0.44 | -113.7% | -2.52 | -2.7% | 17.3% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 120.7% | 34.5% | 3.13 | -14.2% | 9.06 | 4.3% | 46.0% | -0.13 | -125.6% | -0.29 | 120.7% | 46.0% | 2.62 | 5.7 | ||
| EF | Normal Approximation | 105.6% | 46.1% | 105.6% | 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
