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 199.19% 1999-12-31 2022-07-29 -14.0% 4.8% -2.97 -13.4% -62.27 -8.8% 15.5% -0.64 -211.6% -4.13 -14.0% 15.5% -0.91 -5.9
EFA -148.03% 2001-09-28 2022-07-29 -18.9% 4.8% -3.98 -14.8% -83.43 -3.0% 17.7% -0.25 -121.1% -1.44 -18.9% 17.7% -1.07 -6.0
EEM -193.34% 2003-05-30 2022-07-29 -24.3% 11.8% -2.11 -21.3% -17.90 -3.4% 21.5% -0.26 -119.9% -1.22 -24.3% 21.5% -1.13 -5.2
TLT 26.33% 2002-08-30 2022-07-29 -10.5% 6.9% -1.54 -11.0% -22.27 -5.0% 13.4% -0.44 -117.2% -3.26 -10.5% 13.4% -0.78 -5.9
USO 105.27% 2006-05-31 2022-07-29 33.2% 21.9% 1.37 -5.9% 6.25 12.7% 41.6% 0.08 -149.7% 0.19 33.2% 41.6% 0.80 1.9
GLD 110.58% 2004-12-31 2022-07-29 -2.7% 11.9% -0.29 -11.1% -2.41 -5.6% 17.0% -0.41 -113.7% -2.42 -2.7% 17.0% -0.16 -1.0
Portfolio Monthly Rebalance Backtest 119.7% 34.4% 3.11 -14.0% 9.04 -2.2% 45.8% -0.26 -157.0% -0.57 119.7% 45.8% 2.62 5.7
EF Normal Approximation 105.3% 45.9% 105.3% 45.9% 1.86 4.1

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

Historical Returns and Volatility

returns
returns
vol