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 | 201.25% | 1999-12-31 | 2020-10-30 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -8.2% | 15.2% | -0.61 | -178.7% | -4.01 | -14.0% | 15.2% | -0.92 | -6.1 |
| EFA | -120.51% | 2001-09-28 | 2020-10-30 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -2.4% | 17.8% | -0.22 | -102.4% | -1.25 | -18.9% | 17.8% | -1.06 | -5.9 |
| EEM | -214.65% | 2003-05-30 | 2020-10-30 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -4.3% | 22.3% | -0.30 | -105.1% | -1.35 | -24.3% | 22.3% | -1.09 | -4.9 |
| TLT | 15.30% | 2002-08-30 | 2020-10-30 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -7.3% | 13.3% | -0.61 | -117.2% | -4.59 | -10.5% | 13.3% | -0.79 | -5.9 |
| USO | 104.73% | 2006-05-31 | 2020-10-30 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 23.7% | 42.1% | 0.31 | -85.7% | 0.74 | 33.2% | 42.1% | 0.79 | 1.9 |
| GLD | 113.87% | 2004-12-31 | 2020-10-30 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.8% | 17.3% | -0.47 | -113.7% | -2.72 | -2.7% | 17.3% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 121.6% | 34.8% | 3.12 | -14.5% | 8.98 | 8.8% | 46.7% | -0.05 | -119.9% | -0.11 | 121.6% | 46.7% | 2.60 | 5.6 | ||
| EF | Normal Approximation | 105.4% | 46.8% | 105.4% | 46.8% | 1.83 | 3.9 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
