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 | 207.14% | 2000-07-31 | 2020-06-30 | -14.0% | 4.8% | -2.97 | -13.4% | -62.25 | -8.0% | 15.2% | -0.60 | -169.4% | -3.93 | -14.0% | 15.2% | -0.93 | -6.1 |
| EFA | -121.04% | 2001-09-28 | 2020-06-30 | -18.9% | 4.8% | -3.98 | -14.8% | -83.43 | -2.4% | 18.0% | -0.22 | -102.4% | -1.24 | -18.9% | 18.0% | -1.05 | -5.8 |
| EEM | -217.79% | 2003-05-30 | 2020-06-30 | -24.3% | 11.8% | -2.11 | -21.3% | -17.90 | -3.7% | 22.4% | -0.27 | -105.1% | -1.21 | -24.3% | 22.4% | -1.08 | -4.8 |
| TLT | 12.09% | 2002-08-30 | 2020-06-30 | -10.5% | 6.9% | -1.54 | -11.0% | -22.27 | -7.7% | 13.3% | -0.64 | -114.3% | -4.82 | -10.5% | 13.3% | -0.79 | -5.9 |
| USO | 104.51% | 2006-05-31 | 2020-06-30 | 33.2% | 21.9% | 1.37 | -5.9% | 6.25 | 23.4% | 42.5% | 0.30 | -85.7% | 0.71 | 33.2% | 42.5% | 0.78 | 1.8 |
| GLD | 115.09% | 2004-12-31 | 2020-06-30 | -2.7% | 11.9% | -0.29 | -11.1% | -2.41 | -6.6% | 17.3% | -0.46 | -109.5% | -2.67 | -2.7% | 17.3% | -0.16 | -0.9 |
| Portfolio | Monthly Rebalance Backtest | 122.4% | 34.7% | 3.16 | -14.4% | 9.11 | 7.4% | 46.9% | -0.08 | -120.0% | -0.17 | 122.4% | 46.9% | 2.61 | 5.6 | ||
| EF | Normal Approximation | 105.8% | 47.1% | 105.8% | 47.1% | 1.83 | 3.9 | ||||||||||
The above are annualized geometric return, annualized log return volatility, annualized sharpe ratio, and kelly ratio.
Historical Returns and Volatility
