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 | 197.88% | 1999-12-31 | 2022-10-31 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -8.3% | 15.7% | -0.60 | -211.6% | -3.83 | -14.0% | 15.7% | -0.89 | -5.7 |
| EFA | -159.31% | 2001-09-28 | 2022-10-31 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -2.3% | 17.9% | -0.22 | -121.1% | -1.22 | -18.9% | 17.9% | -1.06 | -5.9 |
| EEM | -184.30% | 2003-05-30 | 2022-10-31 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -2.5% | 21.6% | -0.22 | -119.9% | -1.01 | -24.3% | 21.6% | -1.12 | -5.2 |
| TLT | 30.45% | 2002-08-30 | 2022-10-31 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -3.8% | 13.6% | -0.34 | -117.2% | -2.52 | -10.5% | 13.6% | -0.77 | -5.7 |
| USO | 105.97% | 2006-05-31 | 2022-10-31 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 13.1% | 41.5% | 0.09 | -149.7% | 0.22 | 33.2% | 41.5% | 0.80 | 1.9 |
| GLD | 109.31% | 2004-12-31 | 2022-10-31 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -5.1% | 16.9% | -0.38 | -113.7% | -2.25 | -2.7% | 16.9% | -0.16 | -1.0 |
| Portfolio | Monthly Rebalance Backtest | 119.4% | 34.3% | 3.11 | -13.9% | 9.05 | -2.7% | 45.6% | -0.27 | -158.2% | -0.59 | 119.4% | 45.6% | 2.62 | 5.7 | ||
| EF | Normal Approximation | 105.2% | 45.7% | 105.2% | 45.7% | 1.86 | 4.1 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
