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 | 178.81% | 1999-12-31 | 2023-02-28 | -14.0% | 4.8% | -2.97 | -13.4% | -62.28 | -8.5% | 15.8% | -0.61 | -211.6% | -3.88 | -14.0% | 15.8% | -0.89 | -5.6 |
| EFA | -140.26% | 2001-09-28 | 2023-02-28 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -3.4% | 18.1% | -0.28 | -121.1% | -1.52 | -18.9% | 18.1% | -1.04 | -5.8 |
| EEM | -187.37% | 2003-05-30 | 2023-02-28 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -3.6% | 21.8% | -0.27 | -119.9% | -1.24 | -24.3% | 21.8% | -1.11 | -5.1 |
| TLT | 30.56% | 2002-08-30 | 2023-02-28 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -4.4% | 13.7% | -0.39 | -117.2% | -2.81 | -10.5% | 13.7% | -0.76 | -5.6 |
| USO | 106.62% | 2006-05-31 | 2023-02-28 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 13.1% | 41.2% | 0.10 | -149.7% | 0.23 | 33.2% | 41.2% | 0.81 | 2.0 |
| GLD | 111.63% | 2004-12-31 | 2023-02-28 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.0% | 17.0% | -0.43 | -113.7% | -2.54 | -2.7% | 17.0% | -0.16 | -1.0 |
| Portfolio | Monthly Rebalance Backtest | 119.1% | 34.9% | 3.04 | -14.4% | 8.69 | 0.8% | 45.8% | -0.20 | -164.8% | -0.44 | 119.1% | 45.8% | 2.60 | 5.7 | ||
| EF | Normal Approximation | 104.5% | 45.9% | 104.5% | 45.9% | 1.85 | 4.0 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
