Efficient Frontier Forecast

Efficient Frontier Overview

This tool uses mean-variance optimization to generate forward-looking efficient frontiers based on user-specified expected annual return and volatility of assets combined with historical asset correlations.

The required inputs for the efficient frontier include the portfolio assets and expected annual returns, along with volatility expectations when historical volatility is not used. You can optionally specify the asset allocation and allocation constraints for the portfolio assets. If an asset allocation is specified, the provided portfolio will be rendered on the efficient frontier chart.

Efficient Frontier Configuration

Efficient Frontier Assets
Allocation
Expected Return
Volatility
Min. Weight
Max. Weight
Group
1
%
%
%
%
%
2
%
%
%
%
%
3
%
%
%
%
%
4
%
%
%
%
%
5
%
%
%
%
%
6
%
%
%
%
%
7
%
%
%
%
%
8
%
%
%
%
%
9
%
%
%
%
%
10
%
%
%
%
%
Total
%
Asset Groups
Min. Weight
Max. Weight
A
%
%
B
%
%
C
%
%
D
%
%
E
%
%
F
%
%