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Mean Variance Portfolio Optimization

Efficient Frontier Computation

price evolution
efficient frontier
multi period efficient frontier

Portfolio Weights and Metrics

10 month backtesting 200 month backtesting Metrics Used
ticker weight mindate maxdate returnvolsharpemaxddkelly returnvolsharpemaxddkelly returnvolsharpekelly
SPY 88.95% 1999-12-31 2024-01-31 -0.7% 7.6% -0.13 -7.1% -1.75 -9.4% 14.6% -0.71 -202.9% -4.85 -0.7% 14.6% -0.05 -0.3
EFA 12.47% 2001-09-28 2024-01-31 -6.0% 9.4% -0.68 -11.8% -7.26 -5.1% 17.3% -0.38 -120.0% -2.18 -6.0% 17.3% -0.35 -2.0
EEM -46.96% 2003-05-30 2024-01-31 -18.1% 19.6% -1.00 -24.0% -5.12 -6.7% 22.0% -0.41 -121.5% -1.84 -18.1% 22.0% -0.82 -3.7
GLD 45.53% 2004-12-31 2024-01-31 -6.7% 11.8% -0.62 -11.4% -5.30 -7.8% 17.2% -0.53 -149.3% -3.09 -6.7% 17.2% -0.39 -2.3
Portfolio Monthly Rebalance Backtest 5.0% 4.3% 1.13 -1.2% 26.19 -9.4% 10.7% -0.93 -170.2% -8.71 5.0% 10.7% 0.46 4.4
EF Normal Approximation 5.0% 10.7% 5.0% 10.7% 0.51 4.8

The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.

Historical Returns and Volatility

returns
returns
vol