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 | 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
