Efficient Frontier

This online tool calculates and plots the efficient frontier for the specified asset classes, mutual funds, ETFs or stocks for the specified time period. The efficient frontier shows the set of optimal portfolios provide the best possible expected return for the level of risk in the portfolio. You can also use the efficient frontier forecast tool to specify expected future returns for the assets. The required inputs for the efficient frontier include the portfolio assets. 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.

1
%
%
%
2
%
%
%
3
%
%
%
4
%
%
%
5
%
%
%
6
%
%
%
7
%
%
%
8
%
%
%
9
%
%
%
10
%
%
%
Total
%

Efficient Frontier Results (Jan 1978 - Dec 2016)

Portfolio Allocations

Tangency Portfolio
Asset Allocation
Save portfolio »
US Stock Market 49.49%
Long Term Treasury 50.51%

Efficient Frontier Assets

Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe Ratio*Min. WeightMax. Weight
*Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (4.67% annualized).
1US Stock Market12.71%15.31%0.5250.00%100.00%
2Long Term Treasury9.22%11.11%0.4100.00%100.00%

Asset Correlations

Asset Correlations
AssetUS Stock MarketLong Term Treasury
Based on monthly returns from Jan 1978 to Dec 2016
US Stock Market1.000.06
Long Term Treasury0.061.00
Efficient Frontier Points
#US Stock MarketLong Term TreasuryExpected ReturnStandard DeviationSharpe Ratio*
*Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (4.67% annualized).
10.00%100.00%9.22%11.11%0.410
21.01%98.99%9.26%11.01%0.417
32.02%97.98%9.29%10.91%0.424
43.03%96.97%9.33%10.82%0.431
54.04%95.96%9.36%10.72%0.438
65.05%94.95%9.40%10.63%0.445
76.06%93.94%9.43%10.54%0.452
87.07%92.93%9.47%10.45%0.459
98.08%91.92%9.50%10.36%0.466
109.09%90.91%9.54%10.28%0.474
1110.10%89.90%9.57%10.20%0.481
1211.11%88.89%9.61%10.12%0.488
1312.12%87.88%9.64%10.05%0.495
1413.13%86.87%9.67%9.98%0.502
1514.14%85.86%9.71%9.91%0.509
1615.15%84.85%9.74%9.85%0.516
1716.16%83.84%9.78%9.78%0.523
1817.17%82.83%9.81%9.72%0.529
1918.18%81.82%9.85%9.67%0.536
2019.19%80.81%9.88%9.62%0.543
2120.20%79.80%9.92%9.57%0.549
2221.21%78.79%9.95%9.52%0.555
2322.22%77.78%9.99%9.48%0.562
2423.23%76.77%10.02%9.44%0.568
2524.24%75.76%10.06%9.40%0.573
2625.25%74.75%10.09%9.37%0.579
2726.26%73.74%10.13%9.34%0.585
2827.27%72.73%10.16%9.32%0.590
2928.28%71.72%10.20%9.30%0.595
3029.29%70.71%10.23%9.28%0.600
3130.30%69.70%10.27%9.26%0.605
3231.31%68.69%10.30%9.25%0.609
3332.32%67.68%10.34%9.25%0.613
3433.33%66.67%10.37%9.25%0.617
3534.34%65.66%10.41%9.25%0.621
3635.35%64.65%10.44%9.25%0.625
3736.36%63.64%10.48%9.26%0.628
3837.37%62.63%10.51%9.27%0.631
3938.38%61.62%10.55%9.29%0.633
4039.39%60.61%10.58%9.31%0.636
4140.40%59.60%10.62%9.33%0.638
4241.41%58.59%10.65%9.36%0.640
4342.42%57.58%10.69%9.39%0.642
4443.43%56.57%10.72%9.42%0.643
4544.44%55.56%10.76%9.46%0.644
4645.45%54.55%10.79%9.50%0.645
4746.46%53.54%10.83%9.54%0.646
4847.47%52.53%10.86%9.59%0.646
4948.48%51.52%10.90%9.64%0.647
5049.49%50.51%10.93%9.70%0.647
5150.51%49.49%10.97%9.75%0.646
5251.52%48.48%11.01%9.81%0.646
5352.53%47.47%11.04%9.88%0.645
5453.54%46.46%11.08%9.94%0.645
5554.55%45.45%11.11%10.01%0.644
5655.56%44.44%11.15%10.09%0.642
5756.57%43.43%11.18%10.16%0.641
5857.58%42.42%11.22%10.24%0.640
5958.59%41.41%11.25%10.32%0.638
6059.60%40.40%11.29%10.41%0.636
6160.61%39.39%11.32%10.49%0.634
6261.62%38.38%11.36%10.58%0.632
6362.63%37.37%11.39%10.67%0.630
6463.64%36.36%11.43%10.77%0.628
6564.65%35.35%11.46%10.86%0.626
6665.66%34.34%11.50%10.96%0.623
6766.67%33.33%11.53%11.06%0.621
6867.68%32.32%11.57%11.17%0.618
6968.69%31.31%11.61%11.27%0.616
7069.70%30.30%11.64%11.38%0.613
7170.71%29.29%11.68%11.49%0.610
7271.72%28.28%11.71%11.60%0.607
7372.73%27.27%11.75%11.71%0.605
7473.74%26.26%11.78%11.83%0.602
7574.75%25.25%11.82%11.94%0.599
7675.76%24.24%11.85%12.06%0.596
7776.77%23.23%11.89%12.18%0.593
7877.78%22.22%11.92%12.30%0.590
7978.79%21.21%11.96%12.43%0.587
8079.80%20.20%12.00%12.55%0.584
8180.81%19.19%12.03%12.68%0.581
8281.82%18.18%12.07%12.80%0.578
8382.83%17.17%12.10%12.93%0.575
8483.84%16.16%12.14%13.06%0.572
8584.85%15.15%12.17%13.20%0.569
8685.86%14.14%12.21%13.33%0.566
8786.87%13.13%12.24%13.46%0.563
8887.88%12.12%12.28%13.60%0.560
8988.89%11.11%12.31%13.74%0.557
9089.90%10.10%12.35%13.87%0.554
9190.91%9.09%12.39%14.01%0.551
9291.92%8.08%12.42%14.15%0.548
9392.93%7.07%12.46%14.29%0.545
9493.94%6.06%12.49%14.44%0.542
9594.95%5.05%12.53%14.58%0.539
9695.96%4.04%12.56%14.72%0.536
9796.97%3.03%12.60%14.87%0.534
9897.98%2.02%12.64%15.01%0.531
9998.99%1.01%12.67%15.16%0.528
100100.00%0.00%12.71%15.31%0.525
Notes on results:
  • Standard deviation and expected return in the efficient frontier are annualized from the monthly returns
  • Ex-ante Sharpe Ratio for the efficient frontier data points is calculated using historical 1-month treasury bill returns as the risk free rate