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 | 102.10% | 1999-09-30 | 2019-07-31 | 4.7% | 19.5% | 0.14 | -9.2% | 0.70 | 8.9% | 14.6% | 0.53 | -70.9% | 3.63 | 4.7% | 14.6% | 0.32 | 2.2 |
| EFA | -61.92% | 2001-09-28 | 2019-07-31 | -2.5% | 16.3% | -0.23 | -5.5% | -1.44 | 2.9% | 17.7% | 0.08 | -85.3% | 0.43 | -2.5% | 17.7% | -0.14 | -0.8 |
| EEM | -2.68% | 2003-05-30 | 2019-07-31 | -0.6% | 19.8% | -0.13 | -7.6% | -0.63 | 4.2% | 22.3% | 0.08 | -92.7% | 0.34 | -0.6% | 22.3% | -0.02 | -0.1 |
| TLT | 40.47% | 2002-08-30 | 2019-07-31 | 19.3% | 11.1% | 1.67 | -2.0% | 15.03 | 7.1% | 13.1% | 0.47 | -24.6% | 3.61 | 19.3% | 13.1% | 1.48 | 11.3 |
| USO | -10.17% | 2006-05-31 | 2019-07-31 | -26.3% | 43.1% | -0.76 | -35.6% | -1.76 | -12.3% | 33.1% | -0.51 | -253.6% | -1.55 | -26.3% | 33.1% | -0.79 | -2.4 |
| GLD | 32.19% | 2004-12-31 | 2019-07-31 | 22.1% | 9.4% | 2.30 | -2.9% | 24.38 | 5.7% | 17.5% | 0.23 | -56.1% | 1.34 | 22.1% | 17.5% | 1.26 | 7.2 |
| Portfolio | Monthly Rebalance Backtest | 25.8% | 7.2% | 3.53 | -1.0% | 48.86 | 13.5% | 9.7% | 1.33 | -10.9% | 13.69 | 25.8% | 9.7% | 2.65 | 27.3 | ||
| EF | Normal Approximation | 25.4% | 9.7% | 25.4% | 9.7% | 2.40 | 24.6 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
