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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 | 88.95% | 1999-12-31 | 2024-09-30 | -0.7% | 7.6% | -0.13 | -7.1% | -1.75 | -9.4% | 14.6% | -0.71 | -202.9% | -4.85 | -0.7% | 14.6% | -0.05 | -0.3 |
| EFA | 12.47% | 2001-09-28 | 2024-09-30 | -6.0% | 9.4% | -0.68 | -11.8% | -7.26 | -5.1% | 17.3% | -0.38 | -120.0% | -2.18 | -6.0% | 17.3% | -0.35 | -2.0 |
| EEM | -46.96% | 2003-05-30 | 2024-09-30 | -18.1% | 19.6% | -1.00 | -24.0% | -5.12 | -6.7% | 22.0% | -0.41 | -121.5% | -1.84 | -18.1% | 22.0% | -0.82 | -3.7 |
| GLD | 45.53% | 2004-12-31 | 2024-09-30 | -6.7% | 11.8% | -0.62 | -11.4% | -5.30 | -7.8% | 17.2% | -0.53 | -149.3% | -3.09 | -6.7% | 17.2% | -0.39 | -2.3 |
| Portfolio | Monthly Rebalance Backtest | 5.0% | 4.3% | 1.13 | -1.2% | 26.19 | -9.4% | 10.7% | -0.93 | -170.2% | -8.71 | 5.0% | 10.7% | 0.46 | 4.4 | ||
| EF | Normal Approximation | 5.0% | 10.7% | 5.0% | 10.7% | 0.51 | 4.8 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
