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 | 199.26% | 1999-12-31 | 2021-03-31 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -9.2% | 15.2% | -0.67 | -188.0% | -4.42 | -14.0% | 15.2% | -0.92 | -6.0 |
| EFA | -122.54% | 2001-09-28 | 2021-03-31 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -3.8% | 18.0% | -0.30 | -111.1% | -1.66 | -18.9% | 18.0% | -1.05 | -5.8 |
| EEM | -212.82% | 2003-05-30 | 2021-03-31 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -5.4% | 22.1% | -0.35 | -116.9% | -1.57 | -24.3% | 22.1% | -1.10 | -5.0 |
| TLT | 16.59% | 2002-08-30 | 2021-03-31 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -6.2% | 13.4% | -0.53 | -117.2% | -3.93 | -10.5% | 13.4% | -0.78 | -5.9 |
| USO | 104.62% | 2006-05-31 | 2021-03-31 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 19.1% | 42.3% | 0.21 | -85.7% | 0.50 | 33.2% | 42.3% | 0.78 | 1.9 |
| GLD | 114.89% | 2004-12-31 | 2021-03-31 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.0% | 17.3% | -0.43 | -113.7% | -2.45 | -2.7% | 17.3% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 121.6% | 34.9% | 3.11 | -14.5% | 8.94 | 7.8% | 46.1% | -0.07 | -122.2% | -0.14 | 121.6% | 46.1% | 2.64 | 5.7 | ||
| EF | Normal Approximation | 106.2% | 46.3% | 106.2% | 46.3% | 1.86 | 4.0 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
