Mean Variance Portfolio Optimization

Efficient Frontier Computation

price evolution
efficient frontier
multi period efficient frontier

Portfolio Weights and Metrics

10 month backtesting 200 month backtesting Metrics Used
ticker weight mindate maxdate returnvolsharpemaxddkelly returnvolsharpemaxddkelly returnvolsharpekelly
SPY 92.03% 2000-01-31 2019-11-29 22.1% 11.8% 1.79 -6.6% 15.13 9.1% 14.4% 0.55 -70.9% 3.83 22.1% 14.4% 1.53 10.6
EFA -4.07% 2001-09-28 2019-11-29 13.5% 10.6% 1.22 -5.2% 11.49 3.3% 17.5% 0.10 -85.3% 0.56 13.5% 17.5% 0.77 4.4
EEM -46.17% 2003-05-30 2019-11-29 -0.7% 13.2% -0.12 -8.2% -0.87 4.3% 22.1% 0.08 -92.7% 0.36 -0.7% 22.1% -0.03 -0.1
TLT 37.96% 2002-08-30 2019-11-29 21.3% 14.4% 1.39 -4.2% 9.66 7.4% 13.2% 0.49 -24.6% 3.70 21.3% 13.2% 1.61 12.2
USO 3.20% 2006-05-31 2019-11-29 2.9% 24.7% -0.01 -18.0% -0.04 -12.2% 32.7% -0.51 -253.6% -1.57 2.9% 32.7% 0.09 0.3
GLD 17.05% 2004-12-31 2019-11-29 12.7% 13.1% 0.90 -4.2% 6.88 5.8% 17.5% 0.24 -56.1% 1.38 12.7% 17.5% 0.73 4.2
Portfolio Monthly Rebalance Backtest 31.8% 7.0% 4.51 -0.8% 64.77 9.7% 8.3% 1.12 -19.4% 13.43 31.8% 8.3% 3.82 46.0
EF Normal Approximation 31.9% 8.3% 31.9% 8.3% 3.40 40.8

The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.

Historical Returns and Volatility

returns
returns
vol