Efficient Frontier

Efficient Frontier Configuration

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Efficient Frontier Results (Jan 1986 - Dec 2021)

Max Sharpe Ratio Portfolio

Asset Class Allocation
US Stock Market 10.98%
Short Term Treasury 89.02%
Save portfolio »

Performance Summary

Portfolio Statistics
PortfolioExpected ReturnStandard DeviationSharpe Ratio
Max Sharpe Ratio Portfolio5.23%2.36%0.93

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 1986 to Dec 2021
  • 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 Market11.80%15.33%0.5720.00%100.00%
2Short Term Treasury4.43%2.07%0.6690.00%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 MarketShort Term Treasury
US Stock Market1.00-0.11
Short Term Treasury-0.111.00
Based on monthly returns from Jan 1986 to Dec 2021

Efficient Frontier Portfolios

Efficient Frontier Points
#US Stock MarketShort Term TreasuryExpected Return *Standard Deviation *Sharpe Ratio *
13.15%96.85%4.66%2.01%0.805
24.13%95.87%4.73%2.02%0.838
35.11%94.89%4.80%2.04%0.867
46.09%93.91%4.87%2.07%0.889
57.07%92.93%4.95%2.10%0.907
68.04%91.96%5.02%2.15%0.920
79.02%90.98%5.09%2.21%0.927
810.00%90.00%5.16%2.28%0.931
910.98%89.02%5.23%2.36%0.932
1011.96%88.04%5.31%2.44%0.930
1112.94%87.06%5.38%2.53%0.925
1213.91%86.09%5.45%2.63%0.919
1314.89%85.11%5.52%2.73%0.911
1415.87%84.13%5.60%2.83%0.903
1516.85%83.15%5.67%2.94%0.893
1617.83%82.17%5.74%3.06%0.884
1718.80%81.20%5.81%3.18%0.874
1819.78%80.22%5.88%3.30%0.864
1920.76%79.24%5.96%3.42%0.854
2021.74%78.26%6.03%3.54%0.844
2122.72%77.28%6.10%3.67%0.835
2223.70%76.30%6.17%3.80%0.825
2324.67%75.33%6.25%3.93%0.816
2425.65%74.35%6.32%4.06%0.807
2526.63%73.37%6.39%4.20%0.799
2627.61%72.39%6.46%4.33%0.790
2728.59%71.41%6.53%4.47%0.782
2829.57%70.43%6.61%4.61%0.775
2930.54%69.46%6.68%4.75%0.767
3031.52%68.48%6.75%4.89%0.760
3132.50%67.50%6.82%5.03%0.753
3233.48%66.52%6.89%5.17%0.747
3334.46%65.54%6.97%5.31%0.740
3435.43%64.57%7.04%5.45%0.734
3536.41%63.59%7.11%5.59%0.728
3637.39%62.61%7.18%5.74%0.723
3738.37%61.63%7.26%5.88%0.717
3839.35%60.65%7.33%6.03%0.712
3940.33%59.67%7.40%6.17%0.707
4041.30%58.70%7.47%6.32%0.702
4142.28%57.72%7.54%6.46%0.698
4243.26%56.74%7.62%6.61%0.693
4344.24%55.76%7.69%6.75%0.689
4445.22%54.78%7.76%6.90%0.685
4546.20%53.80%7.83%7.05%0.680
4647.17%52.83%7.90%7.19%0.677
4748.15%51.85%7.98%7.34%0.673
4849.13%50.87%8.05%7.49%0.669
4950.11%49.89%8.12%7.64%0.666
5051.09%48.91%8.19%7.79%0.662
5152.07%47.93%8.27%7.93%0.659
5253.04%46.96%8.34%8.08%0.656
5354.02%45.98%8.41%8.23%0.653
5455.00%45.00%8.48%8.38%0.650
5555.98%44.02%8.55%8.53%0.647
5656.96%43.04%8.63%8.68%0.644
5757.93%42.07%8.70%8.83%0.641
5858.91%41.09%8.77%8.98%0.639
5959.89%40.11%8.84%9.13%0.636
6060.87%39.13%8.92%9.28%0.634
6161.85%38.15%8.99%9.43%0.631
6262.83%37.17%9.06%9.58%0.629
6363.80%36.20%9.13%9.73%0.627
6464.78%35.22%9.20%9.88%0.624
6565.76%34.24%9.28%10.03%0.622
6666.74%33.26%9.35%10.18%0.620
6767.72%32.28%9.42%10.33%0.618
6868.70%31.30%9.49%10.48%0.616
6969.67%30.33%9.56%10.63%0.614
7070.65%29.35%9.64%10.78%0.612
7171.63%28.37%9.71%10.93%0.610
7272.61%27.39%9.78%11.08%0.609
7373.59%26.41%9.85%11.23%0.607
7474.57%25.43%9.93%11.38%0.605
7575.54%24.46%10.00%11.54%0.603
7676.52%23.48%10.07%11.69%0.602
7777.50%22.50%10.14%11.84%0.600
7878.48%21.52%10.21%11.99%0.599
7979.46%20.54%10.29%12.14%0.597
8080.43%19.57%10.36%12.29%0.596
8181.41%18.59%10.43%12.44%0.594
8282.39%17.61%10.50%12.59%0.593
8383.37%16.63%10.57%12.75%0.591
8484.35%15.65%10.65%12.90%0.590
8585.33%14.67%10.72%13.05%0.589
8686.30%13.70%10.79%13.20%0.587
8787.28%12.72%10.86%13.35%0.586
8888.26%11.74%10.94%13.50%0.585
8989.24%10.76%11.01%13.66%0.584
9090.22%9.78%11.08%13.81%0.582
9191.20%8.80%11.15%13.96%0.581
9292.17%7.83%11.22%14.11%0.580
9393.15%6.85%11.30%14.26%0.579
9494.13%5.87%11.37%14.42%0.578
9595.11%4.89%11.44%14.57%0.577
9696.09%3.91%11.51%14.72%0.576
9797.07%2.93%11.59%14.87%0.575
9898.04%1.96%11.66%15.02%0.574
9999.02%0.98%11.73%15.18%0.573
100100.00%0.00%11.80%15.33%0.572
*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.