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 | 131.73% | 2000-04-28 | 2020-03-31 | -14.0% | 4.8% | -2.97 | -13.4% | -62.25 | -6.9% | 15.0% | -0.53 | -169.4% | -3.55 | -14.0% | 15.0% | -0.94 | -6.3 |
| EFA | -69.86% | 2001-09-28 | 2020-03-31 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -1.5% | 18.0% | -0.17 | -102.4% | -0.94 | -18.9% | 18.0% | -1.05 | -5.8 |
| EEM | -203.04% | 2003-05-30 | 2020-03-31 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -2.6% | 22.5% | -0.22 | -105.1% | -1.00 | -24.3% | 22.5% | -1.08 | -4.8 |
| TLT | 36.43% | 2002-08-30 | 2020-03-31 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -7.8% | 13.4% | -0.65 | -106.9% | -4.84 | -10.5% | 13.4% | -0.78 | -5.8 |
| USO | 114.13% | 2006-05-31 | 2020-03-31 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 22.2% | 39.2% | 0.34 | -85.7% | 0.86 | 33.2% | 39.2% | 0.85 | 2.2 |
| GLD | 90.61% | 2004-12-31 | 2020-03-31 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -5.9% | 17.3% | -0.42 | -109.5% | -2.42 | -2.7% | 17.3% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 116.6% | 36.1% | 2.85 | -16.1% | 7.88 | 12.1% | 43.5% | 0.05 | -118.7% | 0.11 | 116.6% | 43.5% | 2.68 | 6.2 | ||
| EF | Normal Approximation | 103.0% | 43.6% | 103.0% | 43.6% | 1.90 | 4.4 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
