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 | 198.11% | 1999-12-31 | 2021-06-30 | -14.0% | 4.8% | -2.97 | -13.4% | -62.27 | -9.6% | 15.2% | -0.70 | -198.3% | -4.61 | -14.0% | 15.2% | -0.93 | -6.1 |
| EFA | -122.19% | 2001-09-28 | 2021-06-30 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -4.1% | 17.8% | -0.31 | -120.0% | -1.76 | -18.9% | 17.8% | -1.06 | -5.9 |
| EEM | -212.27% | 2003-05-30 | 2021-06-30 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -5.6% | 22.0% | -0.36 | -119.0% | -1.62 | -24.3% | 22.0% | -1.11 | -5.0 |
| TLT | 16.39% | 2002-08-30 | 2021-06-30 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -6.5% | 13.3% | -0.55 | -117.2% | -4.14 | -10.5% | 13.3% | -0.79 | -5.9 |
| USO | 104.19% | 2006-05-31 | 2021-06-30 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 17.1% | 42.1% | 0.17 | -86.5% | 0.41 | 33.2% | 42.1% | 0.79 | 1.9 |
| GLD | 115.77% | 2004-12-31 | 2021-06-30 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.1% | 17.4% | -0.43 | -113.7% | -2.47 | -2.7% | 17.4% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 121.2% | 34.8% | 3.11 | -14.5% | 8.93 | 5.6% | 45.9% | -0.11 | -122.9% | -0.23 | 121.2% | 45.9% | 2.64 | 5.7 | ||
| EF | Normal Approximation | 106.0% | 46.0% | 106.0% | 46.0% | 1.86 | 4.0 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
