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 | 200.90% | 1999-12-31 | 2022-05-31 | -14.0% | 4.8% | -2.97 | -13.4% | -62.28 | -8.9% | 15.3% | -0.65 | -211.6% | -4.27 | -14.0% | 15.3% | -0.92 | -6.0 |
| EFA | -147.72% | 2001-09-28 | 2022-05-31 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -3.3% | 17.6% | -0.27 | -121.1% | -1.54 | -18.9% | 17.6% | -1.07 | -6.1 |
| EEM | -194.87% | 2003-05-30 | 2022-05-31 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -3.8% | 21.6% | -0.28 | -119.9% | -1.29 | -24.3% | 21.6% | -1.13 | -5.2 |
| TLT | 26.10% | 2002-08-30 | 2022-05-31 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -5.0% | 13.4% | -0.43 | -117.2% | -3.23 | -10.5% | 13.4% | -0.78 | -5.8 |
| USO | 105.37% | 2006-05-31 | 2022-05-31 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 12.2% | 41.8% | 0.07 | -139.5% | 0.16 | 33.2% | 41.8% | 0.79 | 1.9 |
| GLD | 110.22% | 2004-12-31 | 2022-05-31 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -5.9% | 17.1% | -0.43 | -113.7% | -2.51 | -2.7% | 17.1% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 120.1% | 34.5% | 3.12 | -14.0% | 9.05 | -2.1% | 46.1% | -0.26 | -154.8% | -0.56 | 120.1% | 46.1% | 2.61 | 5.7 | ||
| EF | Normal Approximation | 105.4% | 46.2% | 105.4% | 46.2% | 1.85 | 4.0 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
