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 | 179.48% | 1998-02-27 | 2019-04-30 | 12.1% | 17.1% | 0.62 | -14.5% | 3.61 | 8.9% | 14.5% | 0.54 | -70.9% | 3.71 | 12.1% | 14.5% | 0.84 | 5.8 |
| EFA | -128.88% | 2001-09-28 | 2019-04-30 | 0.9% | 14.4% | -0.01 | -14.8% | -0.06 | 3.1% | 17.7% | 0.08 | -85.3% | 0.48 | 0.9% | 17.7% | 0.05 | 0.3 |
| EEM | 11.64% | 2003-05-30 | 2019-04-30 | 3.5% | 17.4% | 0.11 | -13.6% | 0.64 | 4.7% | 22.3% | 0.09 | -92.7% | 0.42 | 3.5% | 22.3% | 0.16 | 0.7 |
| TLT | 31.94% | 2002-08-30 | 2019-04-30 | 4.7% | 10.4% | 0.40 | -5.9% | 3.83 | 6.6% | 13.1% | 0.43 | -24.7% | 3.32 | 4.7% | 13.1% | 0.36 | 2.8 |
| USO | -8.74% | 2006-05-31 | 2019-04-30 | -13.9% | 39.1% | -0.52 | -47.4% | -1.33 | -11.8% | 33.0% | -0.50 | -253.6% | -1.52 | -13.9% | 33.0% | -0.42 | -1.3 |
| GLD | 14.57% | 2004-12-31 | 2019-04-30 | 2.6% | 7.7% | 0.30 | -2.9% | 3.88 | 5.0% | 17.6% | 0.20 | -56.1% | 1.11 | 2.6% | 17.6% | 0.15 | 0.8 |
| Portfolio | Monthly Rebalance Backtest | 25.8% | 14.5% | 1.69 | -6.4% | 11.64 | 17.0% | 11.7% | 1.39 | -12.7% | 11.86 | 25.8% | 11.7% | 2.20 | 18.8 | ||
| EF | Normal Approximation | 25.0% | 11.7% | 25.0% | 11.7% | 1.98 | 16.8 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
