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
Min. Weight
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Portfolio Optimization Results (Dec 2015 - Dec 2019)

Portfolio optimization results with goal to maximize sharpe ratio. The possible range of expected annual portfolio returns for the given period is 2.76% to 14.26%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Provided Portfolio
Ticker Name Allocation
SEMIX Semper Short Duration Institutional 34.00%
IOFIX AlphaCentric Income Opportunities I 33.00%
VFINX Vanguard 500 Index Investor 33.00%
Save portfolio »
Maximum Sharpe Ratio
Ticker Name Allocation
SEMIX Semper Short Duration Institutional 80.29%
IOFIX AlphaCentric Income Opportunities I 18.53%
VFINX Vanguard 500 Index Investor 1.17%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricProvided PortfolioMaximum Sharpe Ratio
Start Balance$10,000$10,000
End Balance$14,100$11,831
CAGR8.78%4.20%
Expected Return 8.87% 4.21%
Stdev4.09%0.85%
Best Year15.19%5.41%
Worst Year-0.26%0.08%
Max. Drawdown -4.68% -0.30%
Sharpe Ratio (ex-ante)1.863.43
Sharpe Ratio (ex-post)1.773.24
Sortino Ratio2.9711.88
US Stock Market Correlation0.970.32
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 yearFull
Provided Portfolio3.82%15.19%9.40%8.78%
Maximum Sharpe Ratio1.03%5.41%4.41%4.20%
Trailing returns are for full months ending in December 2019 excluding portfolio cashflows.
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 annual results for 2015 are based on full calendar months from December to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetCAGRExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Semper Short Duration Institutional (SEMIX)2.76%2.76%0.50%2.9360.00%100.00%
2AlphaCentric Income Opportunities I (IOFIX)10.01%10.06%2.79%3.1410.00%100.00%
3Vanguard 500 Index Investor (VFINX)13.53%14.27%11.54%1.1260.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.28% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerSEMIXIOFIXVFINX
Semper Short Duration InstitutionalSEMIX1.000.580.16
AlphaCentric Income Opportunities IIOFIX0.581.000.14
Vanguard 500 Index InvestorVFINX0.160.141.00
Based on provided custom correlation matrix
Efficient Frontier Assets
#SEMIXIOFIXVFINXExpected Return*Standard Deviation*Sharpe Ratio*
1100.00%0.00%0.00%2.76%0.50%2.936
298.55%1.24%0.21%2.87%0.52%3.047
397.03%2.68%0.29%2.98%0.54%3.137
495.51%4.12%0.37%3.09%0.57%3.209
593.99%5.56%0.45%3.20%0.59%3.267
692.47%7.00%0.53%3.31%0.61%3.313
790.94%8.44%0.61%3.42%0.64%3.348
889.42%9.88%0.69%3.54%0.67%3.374
987.90%11.33%0.77%3.65%0.70%3.394
1086.38%12.77%0.85%3.76%0.73%3.408
1184.86%14.21%0.93%3.87%0.76%3.418
1283.34%15.65%1.01%3.98%0.79%3.424
1381.82%17.09%1.09%4.09%0.82%3.427
1480.29%18.53%1.17%4.21%0.85%3.428
1578.77%19.97%1.25%4.32%0.89%3.427
1677.25%21.41%1.33%4.43%0.92%3.425
1775.73%22.85%1.41%4.54%0.95%3.421
1874.21%24.30%1.50%4.66%0.99%3.417
1972.69%25.74%1.58%4.77%1.02%3.412
2071.17%27.18%1.66%4.88%1.06%3.406
2169.65%28.62%1.74%4.99%1.09%3.400
2268.12%30.06%1.82%5.11%1.13%3.394
2366.60%31.50%1.90%5.22%1.16%3.388
2465.08%32.94%1.98%5.33%1.20%3.382
2563.56%34.38%2.06%5.45%1.24%3.375
2662.04%35.82%2.14%5.56%1.27%3.369
2760.52%37.27%2.22%5.67%1.31%3.363
2859.00%38.71%2.30%5.79%1.34%3.357
2957.47%40.15%2.38%5.90%1.38%3.350
3055.95%41.59%2.46%6.01%1.42%3.344
3154.43%43.03%2.54%6.13%1.45%3.339
3252.91%44.47%2.62%6.24%1.49%3.333
3351.39%45.91%2.70%6.36%1.53%3.327
3449.87%47.35%2.78%6.47%1.56%3.322
3548.35%48.79%2.86%6.59%1.60%3.317
3646.83%50.24%2.94%6.70%1.64%3.312
3745.30%51.68%3.02%6.81%1.67%3.307
3843.78%53.12%3.10%6.93%1.71%3.302
3942.26%54.56%3.18%7.04%1.75%3.297
4040.74%56.00%3.26%7.16%1.79%3.293
4139.22%57.44%3.34%7.27%1.82%3.288
4237.70%58.88%3.42%7.39%1.86%3.284
4336.18%60.32%3.50%7.50%1.90%3.280
4434.65%61.77%3.58%7.62%1.94%3.276
4533.13%63.21%3.66%7.74%1.97%3.273
4631.61%64.65%3.74%7.85%2.01%3.269
4730.09%66.09%3.82%7.97%2.05%3.265
4828.57%67.53%3.90%8.08%2.09%3.262
4927.05%68.97%3.98%8.20%2.12%3.259
5025.53%70.41%4.06%8.31%2.16%3.256
5124.01%71.85%4.14%8.43%2.20%3.253
5222.48%73.29%4.22%8.55%2.24%3.250
5320.96%74.74%4.30%8.66%2.27%3.247
5419.44%76.18%4.38%8.78%2.31%3.244
5517.92%77.62%4.46%8.90%2.35%3.242
5616.40%79.06%4.54%9.01%2.39%3.239
5714.88%80.50%4.62%9.13%2.43%3.237
5813.36%81.94%4.70%9.25%2.46%3.234
5911.83%83.38%4.78%9.36%2.50%3.232
6010.31%84.82%4.86%9.48%2.54%3.230
618.79%86.26%4.94%9.60%2.58%3.228
627.27%87.71%5.02%9.72%2.62%3.226
635.75%89.15%5.10%9.83%2.65%3.224
644.23%90.59%5.18%9.95%2.69%3.222
652.71%92.03%5.26%10.07%2.73%3.221
661.19%93.47%5.34%10.19%2.77%3.219
670.00%93.96%6.04%10.31%2.81%3.216
680.00%91.12%8.88%10.42%2.87%3.185
690.00%88.27%11.73%10.54%2.97%3.118
700.00%85.42%14.58%10.66%3.10%3.024
710.00%82.58%17.42%10.78%3.26%2.914
720.00%79.73%20.27%10.90%3.44%2.794
730.00%76.88%23.12%11.02%3.65%2.671
740.00%74.03%25.97%11.13%3.87%2.550
750.00%71.19%28.81%11.25%4.10%2.433
760.00%68.34%31.66%11.37%4.35%2.322
770.00%65.49%34.51%11.49%4.60%2.219
780.00%62.64%37.36%11.61%4.87%2.123
790.00%59.80%40.20%11.73%5.14%2.034
800.00%56.95%43.05%11.85%5.42%1.951
810.00%54.10%45.90%11.97%5.70%1.875
820.00%51.25%48.75%12.09%5.99%1.805
830.00%48.41%51.59%12.21%6.28%1.740
840.00%45.56%54.44%12.33%6.58%1.680
850.00%42.71%57.29%12.45%6.88%1.625
860.00%39.86%60.14%12.57%7.18%1.574
870.00%37.02%62.98%12.69%7.48%1.526
880.00%34.17%65.83%12.81%7.78%1.482
890.00%31.32%68.68%12.93%8.09%1.441
900.00%28.47%71.53%13.05%8.40%1.402
910.00%25.63%74.37%13.17%8.71%1.366
920.00%22.78%77.22%13.29%9.02%1.333
930.00%19.93%80.07%13.42%9.33%1.301
940.00%17.08%82.92%13.54%9.64%1.271
950.00%14.24%85.76%13.66%9.96%1.243
960.00%11.39%88.61%13.78%10.27%1.217
970.00%8.54%91.46%13.90%10.59%1.192
980.00%5.70%94.30%14.02%10.90%1.169
990.00%2.85%97.15%14.14%11.22%1.147
1000.00%0.00%100.00%14.27%11.54%1.126
*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 (1.28% annualized).
Annual returns for the configured portfolios
YearInflationReturnBalanceSemper Short Duration Institutional (SEMIX)AlphaCentric Income Opportunities I (IOFIX)Vanguard 500 Index Investor (VFINX)
Provided PortfolioMaximum Sharpe RatioProvided PortfolioMaximum Sharpe Ratio
2015-0.34%-0.26%0.08%$9,974$10,008-0.08%0.88%-1.59%
20162.07%7.98%3.85%$10,770$10,3932.39%9.78%11.82%
20172.11%12.60%5.20%$12,127$10,9343.03%14.04%21.67%
20181.91%0.94%2.65%$12,241$11,2242.33%4.45%-4.52%
20192.29%15.19%5.41%$14,100$11,8313.60%11.93%31.33%
Annual returns for 2015 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSemper Short Duration Institutional (SEMIX)AlphaCentric Income Opportunities I (IOFIX)Vanguard 500 Index Investor (VFINX)
Provided PortfolioMaximum Sharpe RatioProvided PortfolioMaximum Sharpe Ratio
201512-0.26%0.08%$9,974$10,008-0.08%0.88%-1.59%
20161-1.80%-0.14%$9,794$9,9950.02%-0.51%-4.98%
20162-0.15%-0.16%$9,779$9,979-0.17%-0.14%-0.15%
201632.63%0.44%$10,037$10,0220.22%0.98%6.78%
201641.32%1.03%$10,170$10,1250.57%3.04%0.37%
201650.73%0.10%$10,244$10,135-0.00%0.42%1.78%
201660.22%0.09%$10,267$10,1440.01%0.42%0.25%
201671.79%0.50%$10,450$10,1950.22%1.51%3.68%
201680.27%0.40%$10,478$10,2350.44%0.24%0.13%
201690.81%0.69%$10,563$10,3060.39%2.04%0.01%
201610-0.43%0.20%$10,518$10,3270.20%0.33%-1.83%
2016111.51%0.33%$10,677$10,3610.20%0.69%3.70%
2016120.87%0.32%$10,770$10,3930.27%0.39%1.96%
201710.83%0.28%$10,860$10,4220.22%0.42%1.88%
201721.93%0.57%$11,069$10,4820.29%1.57%3.96%
201730.45%0.49%$11,119$10,5330.41%0.86%0.10%
201740.57%0.21%$11,183$10,5550.11%0.59%1.02%
201751.44%0.89%$11,344$10,6490.53%2.43%1.39%
201760.55%0.32%$11,406$10,6830.20%0.85%0.61%
201771.14%0.47%$11,536$10,7330.31%1.10%2.04%
201781.12%0.76%$11,665$10,8150.30%2.79%0.29%
201791.29%0.48%$11,816$10,8670.18%1.66%2.06%
2017101.07%0.35%$11,942$10,9050.25%0.66%2.32%
2017111.22%0.19%$12,087$10,9250.05%0.58%3.06%
2017120.33%0.08%$12,127$10,9340.15%-0.26%1.10%
201812.17%0.35%$12,390$10,9720.20%0.66%5.71%
20182-1.22%0.00%$12,240$10,9730.08%-0.07%-3.69%
20183-0.58%0.25%$12,169$11,0010.22%0.58%-2.56%
201840.45%0.33%$12,224$11,0370.24%0.75%0.37%
201851.01%0.30%$12,347$11,0700.24%0.42%2.39%
201860.48%0.32%$12,406$11,1060.25%0.58%0.61%
201871.39%0.29%$12,579$11,1380.25%0.25%3.71%
201881.64%0.51%$12,786$11,1950.25%1.48%3.25%
201890.43%0.30%$12,841$11,2280.25%0.50%0.55%
201810-2.14%0.14%$12,566$11,2450.26%0.10%-6.85%
2018110.42%-0.09%$12,619$11,2350.04%-0.80%2.03%
201812-3.00%-0.10%$12,241$11,2240.03%-0.07%-9.04%
201913.01%0.46%$12,609$11,2760.27%0.83%8.00%
201921.18%0.33%$12,757$11,3120.36%0.01%3.20%
201931.30%0.70%$12,923$11,3910.50%1.49%1.94%
201941.76%0.52%$13,151$11,4510.38%0.91%4.04%
20195-1.51%0.49%$12,952$11,5070.38%1.39%-6.36%
201962.65%0.37%$13,295$11,5490.17%0.82%7.03%
201970.93%0.44%$13,419$11,6010.27%1.12%1.43%
201980.35%0.63%$13,466$11,6740.26%2.38%-1.59%
201990.85%0.31%$13,581$11,7100.25%0.47%1.86%
2019101.28%0.49%$13,754$11,7670.24%1.48%2.15%
2019111.42%0.31%$13,950$11,8030.23%0.46%3.62%
2019121.07%0.23%$14,100$11,8310.24%0.00%3.01%
Portfolio return and risk metrics
MetricProvided PortfolioMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.71%0.34%
Arithmetic Mean (annualized)8.87%4.21%
Geometric Mean (monthly)0.70%0.34%
Geometric Mean (annualized)8.78%4.20%
Volatility (monthly)1.18%0.25%
Volatility (annualized)4.09%0.85%
Downside Deviation (monthly)0.66%0.04%
Max. Drawdown-4.68%-0.30%
US Market Correlation0.970.32
Beta(*)0.330.02
Alpha (annualized)4.21%3.83%
R293.18%10.04%
Sharpe Ratio1.773.24
Sortino Ratio2.9711.88
Treynor Ratio (%)21.99126.28
Calmar Ratio2.0123.85
Active Return-4.30%-8.88%
Tracking Error8.08%11.72%
Information Ratio-0.53-0.76
Skewness-1.010.25
Excess Kurtosis1.750.68
Historical Value-at-Risk (5%)-1.97%-0.12%
Analytical Value-at-Risk (5%)-1.21%-0.06%
Conditional Value-at-Risk (5%)-2.57%-0.15%
Upside Capture Ratio (%)46.1515.16
Downside Capture Ratio (%)26.74-3.51
Safe Withdrawal Rate22.56%20.91%
Perpetual Withdrawal Rate5.14%1.75%
Positive Periods40 out of 49 (81.63%)45 out of 49 (91.84%)
Gain/Loss Ratio0.933.18
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Dec 20183 monthsMar 20193 months6 months-4.68%
2Dec 2015Feb 20163 monthsMar 20161 month4 months-2.21%
3Feb 2018Mar 20182 monthsJun 20183 months5 months-1.79%
4May 2019May 20191 monthJun 20191 month2 months-1.51%
5Oct 2016Oct 20161 monthNov 20161 month2 months-0.43%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2016Feb 20162 monthsMar 20161 month3 months-0.30%
2Nov 2018Dec 20182 monthsJan 20191 month3 months-0.19%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SEMIXSemper Short Duration Institutional2.76%0.50%3.60%-0.08%-0.22%2.819.260.16
IOFIXAlphaCentric Income Opportunities I10.01%2.79%14.04%0.88%-0.87%2.9513.400.14
VFINXVanguard 500 Index Investor13.53%11.54%31.33%-4.52%-13.55%1.051.611.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSEMIXIOFIXVFINXProvided PortfolioMaximum Sharpe Ratio
SEMIXSemper Short Duration Institutional1.000.580.160.320.85
IOFIXAlphaCentric Income Opportunities I0.581.000.140.380.90
VFINXVanguard 500 Index Investor0.160.141.000.970.32

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameProvided PortfolioMaximum Sharpe Ratio
SEMIXSemper Short Duration Institutional1.35%40.31%
IOFIXAlphaCentric Income Opportunities I8.50%54.65%
VFINXVanguard 500 Index Investor90.15%5.04%

Annual Asset Returns