Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

The optimization is based on the monthly return statistics of the selected portfolio assets for the given time period. The optimization result does not predict what allocation would perform best outside the given time period, and the actual performance of portfolios constructed using the optimized asset weights may vary from the given performance goal.

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional. You can also use the Black-Litterman model based portfolio optimization, which allows the benchmark portfolio asset weights to be optimized based on investor's views.

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Asset Groups
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Portfolio Optimization Results

Portfolio optimization results with goal to maximize return subject to 10.00% targeted annual volatility. The possible range of expected annual portfolio returns based on provided parameters is 3.90% to 6.99%. Refer to the efficient frontier section for additional details. Historical values from Jan 2014 to Oct 2020 were used for non-user supplied parameters based on the selected time period and available data for the portfolio assets.

Portfolio Allocations

Provided Portfolio
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%
Save portfolio »
Maximum Return at 10.00% Volatility
Ticker Name Allocation
QSPIX AQR Style Premia Alternative I 100.00%
Save portfolio »

Portfolio Summary

Portfolio statistics
PortfolioExpected ReturnStandard DeviationSharpe Ratio
Provided Portfolio5.38%9.05%0.58
Maximum Return at 10.00% Volatility7.00%7.50%0.92
Expected return is based on the provided capital market expectations. Ex ante Sharpe Ratio calculated using the current 3-month treasury bill return as the risk-free rate (0.10% annualized).
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • 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 information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The results are based on combining user provided forecast model parameters with historical monthly return statistics of the portfolio assets
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Stock Mkt Idx Inv (VTSMX)7.00%15.00%0.4600.00%100.00%
2Vanguard Total Bond Market Index Inv (VBMFX)3.00%3.50%0.8290.00%100.00%
3AQR Style Premia Alternative I (QSPIX)7.00%7.50%0.9200.00%100.00%
Results based on the provided capital market expectations. Ex ante Sharpe Ratio calculated using the current 3-month treasury bill return as the risk-free rate (0.10% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVTSMXVBMFXQSPIX
Vanguard Total Stock Mkt Idx InvVTSMX1.00-0.040.08
Vanguard Total Bond Market Index InvVBMFX-0.041.00-0.10
AQR Style Premia Alternative IQSPIX0.08-0.101.00
Based on monthly returns from Jan 2014 to Oct 2020
Efficient Frontier Assets
#VTSMXVBMFXQSPIXExpected Return*Standard Deviation*Sharpe Ratio*
13.94%77.22%18.84%3.90%2.98%1.276
24.09%76.44%19.48%3.93%2.98%1.286
34.23%75.66%20.12%3.96%2.98%1.296
44.37%74.88%20.75%3.99%2.98%1.305
54.51%74.10%21.39%4.02%2.99%1.313
64.65%73.32%22.03%4.05%2.99%1.321
74.79%72.54%22.67%4.08%3.00%1.328
84.94%71.76%23.31%4.12%3.01%1.334
95.08%70.98%23.95%4.15%3.02%1.340
105.22%70.20%24.58%4.18%3.03%1.345
115.36%69.42%25.22%4.21%3.04%1.350
125.50%68.64%25.86%4.24%3.06%1.354
135.64%67.86%26.50%4.27%3.07%1.358
145.79%67.08%27.14%4.30%3.09%1.361
155.93%66.30%27.78%4.33%3.11%1.363
166.07%65.52%28.41%4.36%3.12%1.365
176.21%64.74%29.05%4.39%3.14%1.366
186.35%63.96%29.69%4.43%3.16%1.367
196.49%63.18%30.33%4.46%3.19%1.367
206.64%62.40%30.97%4.49%3.21%1.367
216.78%61.62%31.60%4.52%3.23%1.367
226.92%60.84%32.24%4.55%3.26%1.366
237.06%60.06%32.88%4.58%3.28%1.364
247.20%59.28%33.52%4.61%3.31%1.363
257.35%58.50%34.16%4.64%3.34%1.361
267.49%57.72%34.80%4.67%3.37%1.358
277.63%56.94%35.43%4.71%3.40%1.355
287.77%56.16%36.07%4.74%3.43%1.352
297.91%55.38%36.71%4.77%3.46%1.349
308.05%54.60%37.35%4.80%3.49%1.345
318.20%53.82%37.99%4.83%3.53%1.341
328.34%53.04%38.63%4.86%3.56%1.337
338.48%52.26%39.26%4.89%3.60%1.333
348.62%51.48%39.90%4.92%3.63%1.328
358.76%50.70%40.54%4.95%3.67%1.324
368.90%49.92%41.18%4.99%3.70%1.319
379.05%49.14%41.82%5.02%3.74%1.314
389.19%48.36%42.46%5.05%3.78%1.309
399.33%47.58%43.09%5.08%3.82%1.304
409.47%46.80%43.73%5.11%3.86%1.298
419.61%46.02%44.37%5.14%3.90%1.293
429.75%45.24%45.01%5.17%3.94%1.287
439.90%44.46%45.65%5.20%3.98%1.282
4410.04%43.68%46.28%5.24%4.02%1.276
4510.18%42.90%46.92%5.27%4.07%1.270
4610.32%42.12%47.56%5.30%4.11%1.265
4710.46%41.34%48.20%5.33%4.15%1.259
4810.60%40.56%48.84%5.36%4.20%1.253
4910.75%39.78%49.48%5.39%4.24%1.247
5010.89%39.00%50.11%5.42%4.29%1.241
5111.03%38.22%50.75%5.45%4.33%1.236
5211.17%37.44%51.39%5.49%4.38%1.230
5311.31%36.66%52.03%5.52%4.43%1.224
5411.45%35.88%52.67%5.55%4.47%1.218
5511.60%35.10%53.31%5.58%4.52%1.212
5611.74%34.32%53.94%5.61%4.57%1.207
5711.88%33.54%54.58%5.64%4.62%1.201
5812.02%32.76%55.22%5.67%4.66%1.195
5912.16%31.98%55.86%5.71%4.71%1.190
6012.30%31.20%56.50%5.74%4.76%1.184
6112.45%30.42%57.13%5.77%4.81%1.178
6212.59%29.64%57.77%5.80%4.86%1.173
6312.73%28.86%58.41%5.83%4.91%1.167
6412.87%28.08%59.05%5.86%4.96%1.162
6513.01%27.30%59.69%5.89%5.01%1.156
6613.16%26.52%60.33%5.93%5.06%1.151
6713.30%25.74%60.96%5.96%5.11%1.146
6813.44%24.96%61.60%5.99%5.16%1.140
6913.58%24.18%62.24%6.02%5.22%1.135
7013.72%23.40%62.88%6.05%5.27%1.130
7113.86%22.62%63.52%6.08%5.32%1.125
7214.01%21.84%64.16%6.11%5.37%1.120
7314.15%21.06%64.79%6.15%5.42%1.115
7414.29%20.28%65.43%6.18%5.48%1.110
7514.43%19.50%66.07%6.21%5.53%1.105
7614.57%18.72%66.71%6.24%5.58%1.100
7714.71%17.94%67.35%6.27%5.64%1.095
7814.86%17.16%67.99%6.30%5.69%1.090
7915.00%16.38%68.62%6.34%5.74%1.085
8015.14%15.60%69.26%6.37%5.80%1.081
8115.28%14.82%69.90%6.40%5.85%1.076
8215.42%14.04%70.54%6.43%5.91%1.072
8315.56%13.26%71.18%6.46%5.96%1.067
8415.71%12.48%71.81%6.49%6.02%1.063
8515.85%11.70%72.45%6.52%6.07%1.058
8615.99%10.92%73.09%6.56%6.13%1.054
8716.13%10.14%73.73%6.59%6.18%1.050
8816.27%9.36%74.37%6.62%6.24%1.045
8916.41%8.58%75.01%6.65%6.29%1.041
9016.56%7.80%75.64%6.68%6.35%1.037
9116.70%7.02%76.28%6.71%6.40%1.033
9216.84%6.24%76.92%6.75%6.46%1.029
9316.98%5.46%77.56%6.78%6.51%1.025
9417.12%4.68%78.20%6.81%6.57%1.021
9517.26%3.90%78.84%6.84%6.63%1.017
9617.41%3.12%79.47%6.87%6.68%1.013
9717.55%2.34%80.11%6.90%6.74%1.010
9817.69%1.56%80.75%6.94%6.80%1.006
9917.83%0.78%81.39%6.97%6.85%1.002
10017.97%0.00%82.03%7.00%6.91%0.999
*Ex-ante values shown for portfolio return and volatility. Ex ante Sharpe Ratio calculated using the current 3-month treasury bill return as the risk-free rate (0.10% annualized).