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 Save

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 3.89% to 6.99%. Refer to the efficient frontier section for additional details. Historical values from Jan 2014 to Dec 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%9.09%0.59
Maximum Return at 10.00% Volatility7.00%7.50%0.93
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.
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%0.4520.00%100.00%
2Vanguard Total Bond Market Index Inv (VBMFX)3.00%3.50%0.8430.00%100.00%
3AQR Style Premia Alternative I (QSPIX)7.00%7.50%0.9030.00%100.00%
Results based on the provided capital market expectations. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using the current 3-month treasury bill return as the risk-free rate.

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVTSMXVBMFXQSPIX
Vanguard Total Stock Mkt Idx InvVTSMX1.00-0.010.08
Vanguard Total Bond Market Index InvVBMFX-0.011.00-0.11
AQR Style Premia Alternative IQSPIX0.08-0.111.00
Based on monthly returns from Jan 2014 to Dec 2020
Efficient Frontier Assets
#VTSMXVBMFXQSPIXExpected Return*Standard Deviation*Sharpe Ratio*
13.46%77.39%19.15%3.89%2.99%1.277
23.61%76.61%19.78%3.92%2.99%1.287
33.75%75.83%20.42%3.95%2.99%1.296
43.90%75.04%21.05%3.99%2.99%1.305
54.05%74.26%21.69%4.02%3.00%1.313
64.19%73.48%22.33%4.05%3.00%1.320
74.34%72.70%22.96%4.08%3.01%1.327
84.49%71.92%23.60%4.11%3.02%1.333
94.63%71.14%24.23%4.14%3.03%1.338
104.78%70.35%24.87%4.17%3.04%1.343
114.93%69.57%25.50%4.20%3.05%1.348
125.07%68.79%26.14%4.23%3.07%1.351
135.22%68.01%26.77%4.26%3.08%1.355
145.37%67.23%27.41%4.30%3.10%1.357
155.51%66.45%28.04%4.33%3.11%1.359
165.66%65.66%28.68%4.36%3.13%1.361
175.81%64.88%29.31%4.39%3.15%1.362
185.95%64.10%29.95%4.42%3.17%1.363
196.10%63.32%30.58%4.45%3.19%1.363
206.25%62.54%31.22%4.48%3.22%1.362
216.39%61.76%31.85%4.51%3.24%1.361
226.54%60.97%32.49%4.54%3.27%1.360
236.69%60.19%33.12%4.58%3.29%1.359
246.83%59.41%33.76%4.61%3.32%1.357
256.98%58.63%34.39%4.64%3.35%1.354
267.13%57.85%35.03%4.67%3.38%1.351
277.27%57.07%35.66%4.70%3.41%1.348
287.42%56.28%36.30%4.73%3.44%1.345
297.57%55.50%36.93%4.76%3.47%1.341
307.71%54.72%37.57%4.79%3.50%1.338
317.86%53.94%38.20%4.83%3.53%1.333
328.00%53.16%38.84%4.86%3.57%1.329
338.15%52.37%39.47%4.89%3.60%1.325
348.30%51.59%40.11%4.92%3.64%1.320
358.44%50.81%40.74%4.95%3.67%1.315
368.59%50.03%41.38%4.98%3.71%1.310
378.74%49.25%42.01%5.01%3.75%1.305
388.88%48.47%42.65%5.04%3.79%1.299
399.03%47.68%43.28%5.08%3.83%1.294
409.18%46.90%43.92%5.11%3.87%1.288
419.32%46.12%44.55%5.14%3.91%1.283
429.47%45.34%45.19%5.17%3.95%1.277
439.62%44.56%45.83%5.20%3.99%1.271
449.76%43.78%46.46%5.23%4.03%1.265
459.91%42.99%47.10%5.26%4.07%1.260
4610.06%42.21%47.73%5.29%4.12%1.254
4710.20%41.43%48.37%5.33%4.16%1.248
4810.35%40.65%49.00%5.36%4.20%1.242
4910.50%39.87%49.64%5.39%4.25%1.236
5010.64%39.09%50.27%5.42%4.29%1.230
5110.79%38.30%50.91%5.45%4.34%1.224
5210.94%37.52%51.54%5.48%4.38%1.218
5311.08%36.74%52.18%5.51%4.43%1.212
5411.23%35.96%52.81%5.55%4.48%1.206
5511.38%35.18%53.45%5.58%4.52%1.200
5611.52%34.40%54.08%5.61%4.57%1.194
5711.67%33.61%54.72%5.64%4.62%1.188
5811.82%32.83%55.35%5.67%4.67%1.182
5911.96%32.05%55.99%5.70%4.72%1.177
6012.11%31.27%56.62%5.73%4.77%1.171
6112.26%30.49%57.26%5.77%4.81%1.165
6212.40%29.71%57.89%5.80%4.86%1.159
6312.55%28.92%58.53%5.83%4.91%1.154
6412.70%28.14%59.16%5.86%4.96%1.148
6512.84%27.36%59.80%5.89%5.01%1.142
6612.99%26.58%60.43%5.92%5.07%1.137
6713.14%25.80%61.07%5.95%5.12%1.131
6813.28%25.02%61.70%5.99%5.17%1.126
6913.43%24.23%62.34%6.02%5.22%1.121
7013.57%23.45%62.97%6.05%5.27%1.115
7113.72%22.67%63.61%6.08%5.32%1.110
7213.87%21.89%64.24%6.11%5.37%1.105
7314.01%21.11%64.88%6.14%5.43%1.100
7414.16%20.32%65.51%6.18%5.48%1.094
7514.31%19.54%66.15%6.21%5.53%1.089
7614.45%18.76%66.78%6.24%5.59%1.084
7714.60%17.98%67.42%6.27%5.64%1.079
7814.75%17.20%68.05%6.30%5.69%1.075
7914.89%16.42%68.69%6.33%5.75%1.070
8015.04%15.63%69.32%6.37%5.80%1.065
8115.19%14.85%69.96%6.40%5.85%1.060
8215.33%14.07%70.60%6.43%5.91%1.056
8315.48%13.29%71.23%6.46%5.96%1.051
8415.63%12.51%71.87%6.49%6.02%1.046
8515.77%11.73%72.50%6.52%6.07%1.042
8615.92%10.94%73.14%6.56%6.13%1.037
8716.07%10.16%73.77%6.59%6.18%1.033
8816.21%9.38%74.41%6.62%6.24%1.029
8916.36%8.60%75.04%6.65%6.29%1.024
9016.51%7.82%75.68%6.68%6.35%1.020
9116.65%7.04%76.31%6.71%6.40%1.016
9216.80%6.25%76.95%6.75%6.46%1.012
9316.95%5.47%77.58%6.78%6.51%1.008
9417.09%4.69%78.22%6.81%6.57%1.004
9517.24%3.91%78.85%6.84%6.63%1.000
9617.39%3.13%79.49%6.87%6.68%0.996
9717.53%2.35%80.12%6.90%6.74%0.992
9817.68%1.56%80.76%6.94%6.80%0.988
9917.83%0.78%81.39%6.97%6.85%0.984
10017.97%0.00%82.03%7.00%6.91%0.981
*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.