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 | 198.91% | 1999-12-31 | 2020-09-30 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -8.4% | 15.2% | -0.62 | -178.7% | -4.09 | -14.0% | 15.2% | -0.92 | -6.1 |
| EFA | -113.79% | 2001-09-28 | 2020-09-30 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -2.7% | 17.8% | -0.24 | -102.4% | -1.33 | -18.9% | 17.8% | -1.06 | -5.9 |
| EEM | -218.62% | 2003-05-30 | 2020-09-30 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -4.3% | 22.3% | -0.30 | -105.1% | -1.33 | -24.3% | 22.3% | -1.09 | -4.9 |
| TLT | 15.64% | 2002-08-30 | 2020-09-30 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -7.6% | 13.3% | -0.63 | -117.2% | -4.74 | -10.5% | 13.3% | -0.79 | -5.9 |
| USO | 104.82% | 2006-05-31 | 2020-09-30 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 22.9% | 42.2% | 0.29 | -85.7% | 0.70 | 33.2% | 42.2% | 0.79 | 1.9 |
| GLD | 113.04% | 2004-12-31 | 2020-09-30 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.8% | 17.3% | -0.47 | -113.7% | -2.73 | -2.7% | 17.3% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 121.7% | 34.9% | 3.11 | -14.7% | 8.89 | 7.9% | 46.7% | -0.07 | -119.0% | -0.15 | 121.7% | 46.7% | 2.61 | 5.6 | ||
| EF | Normal Approximation | 105.5% | 46.8% | 105.5% | 46.8% | 1.84 | 3.9 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
