Efficient Frontier

Efficient Frontier Configuration

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Efficient Frontier Results (Jan 1978 - Feb 2023)

Max Sharpe Ratio Portfolio

Asset Class Allocation
US Stock Market 55.56%
Long Term Treasury 44.44%
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Performance Summary

Portfolio Statistics
PortfolioExpected ReturnStandard DeviationSharpe Ratio
Max Sharpe Ratio Portfolio10.11%10.30%0.57

Efficient Frontier

Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Historical asset statistics are based on monthly returns from Jan 1978 to Feb 2023
  • The efficient frontier is based on the monthly returns, volatilities, and correlations of the specified assets
  • The displayed 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 3-month treasury bill returns as the risk free rate

Efficient Frontier Assets

Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1US Stock Market12.03%15.62%0.4980.00%100.00%
2Long Term Treasury7.72%11.40%0.3050.00%100.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.

Asset Correlations

Asset Correlations
AssetUS Stock MarketLong Term Treasury
US Stock Market1.000.06
Long Term Treasury0.061.00
Based on monthly returns from Jan 1978 to Feb 2023

Efficient Frontier Portfolios

Efficient Frontier Points
#US Stock MarketLong Term TreasuryExpected Return *Standard Deviation *Sharpe Ratio *
10.00%100.00%7.72%11.40%0.305
21.01%98.99%7.76%11.29%0.311
32.02%97.98%7.81%11.19%0.318
43.03%96.97%7.85%11.09%0.325
54.04%95.96%7.89%10.99%0.332
65.05%94.95%7.94%10.89%0.339
76.06%93.94%7.98%10.80%0.346
87.07%92.93%8.02%10.71%0.353
98.08%91.92%8.07%10.62%0.360
109.09%90.91%8.11%10.54%0.367
1110.10%89.90%8.16%10.46%0.374
1211.11%88.89%8.20%10.38%0.381
1312.12%87.88%8.24%10.30%0.388
1413.13%86.87%8.29%10.23%0.395
1514.14%85.86%8.33%10.16%0.402
1615.15%84.85%8.37%10.09%0.409
1716.16%83.84%8.42%10.02%0.416
1817.17%82.83%8.46%9.96%0.423
1918.18%81.82%8.50%9.91%0.430
2019.19%80.81%8.55%9.85%0.436
2120.20%79.80%8.59%9.80%0.443
2221.21%78.79%8.63%9.75%0.450
2322.22%77.78%8.68%9.71%0.456
2423.23%76.77%8.72%9.67%0.463
2524.24%75.76%8.76%9.63%0.469
2625.25%74.75%8.81%9.60%0.475
2726.26%73.74%8.85%9.57%0.481
2827.27%72.73%8.89%9.54%0.487
2928.28%71.72%8.94%9.52%0.493
3029.29%70.71%8.98%9.50%0.498
3130.30%69.70%9.03%9.48%0.504
3231.31%68.69%9.07%9.47%0.509
3332.32%67.68%9.11%9.46%0.514
3433.33%66.67%9.16%9.46%0.519
3534.34%65.66%9.20%9.46%0.523
3635.35%64.65%9.24%9.46%0.528
3736.36%63.64%9.29%9.47%0.532
3837.37%62.63%9.33%9.48%0.536
3938.38%61.62%9.37%9.50%0.540
4039.39%60.61%9.42%9.52%0.543
4140.40%59.60%9.46%9.54%0.546
4241.41%58.59%9.50%9.57%0.549
4342.42%57.58%9.55%9.60%0.552
4443.43%56.57%9.59%9.63%0.555
4544.44%55.56%9.63%9.67%0.557
4645.45%54.55%9.68%9.71%0.559
4746.46%53.54%9.72%9.75%0.561
4847.47%52.53%9.77%9.80%0.563
4948.48%51.52%9.81%9.85%0.564
5049.49%50.51%9.85%9.91%0.566
5150.51%49.49%9.90%9.97%0.567
5251.52%48.48%9.94%10.03%0.568
5352.53%47.47%9.98%10.09%0.568
5453.54%46.46%10.03%10.16%0.569
5554.55%45.45%10.07%10.23%0.569
5655.56%44.44%10.11%10.30%0.569
5756.57%43.43%10.16%10.38%0.569
5857.58%42.42%10.20%10.46%0.569
5958.59%41.41%10.24%10.54%0.569
6059.60%40.40%10.29%10.63%0.568
6160.61%39.39%10.33%10.71%0.568
6261.62%38.38%10.37%10.80%0.567
6362.63%37.37%10.42%10.90%0.566
6463.64%36.36%10.46%10.99%0.565
6564.65%35.35%10.51%11.09%0.564
6665.66%34.34%10.55%11.19%0.563
6766.67%33.33%10.59%11.29%0.562
6867.68%32.32%10.64%11.40%0.560
6968.69%31.31%10.68%11.51%0.559
7069.70%30.30%10.72%11.61%0.557
7170.71%29.29%10.77%11.73%0.556
7271.72%28.28%10.81%11.84%0.554
7372.73%27.27%10.85%11.95%0.553
7473.74%26.26%10.90%12.07%0.551
7574.75%25.25%10.94%12.19%0.549
7675.76%24.24%10.98%12.31%0.547
7776.77%23.23%11.03%12.43%0.545
7877.78%22.22%11.07%12.56%0.543
7978.79%21.21%11.11%12.68%0.541
8079.80%20.20%11.16%12.81%0.539
8180.81%19.19%11.20%12.94%0.537
8281.82%18.18%11.24%13.07%0.535
8382.83%17.17%11.29%13.20%0.533
8483.84%16.16%11.33%13.33%0.531
8584.85%15.15%11.38%13.47%0.529
8685.86%14.14%11.42%13.60%0.527
8786.87%13.13%11.46%13.74%0.525
8887.88%12.12%11.51%13.88%0.523
8988.89%11.11%11.55%14.02%0.521
9089.90%10.10%11.59%14.16%0.519
9190.91%9.09%11.64%14.30%0.517
9291.92%8.08%11.68%14.44%0.515
9392.93%7.07%11.72%14.59%0.513
9493.94%6.06%11.77%14.73%0.510
9594.95%5.05%11.81%14.88%0.508
9695.96%4.04%11.85%15.02%0.506
9796.97%3.03%11.90%15.17%0.504
9897.98%2.02%11.94%15.32%0.502
9998.99%1.01%11.98%15.47%0.500
100100.00%0.00%12.03%15.62%0.498
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.