2024-08-23. Optimization results for Sharpe ratio, expected return and volatility for the portfolio of 25 US blue chips.
2024-08-23. Optimization results for Sharpe ratio, expected return and volatility for the portfolio of 25 US blue chips.
All the optimization performed with the help of the https://asset-master.net/ website.
Optimization results
|
Data download started at: |
2024-08-23 02:14:25 UTC |
|
Portfolio optimization completed at: |
2024-08-23 02:14:37 UTC |
Portfolio allocation:
|
# |
Symbol |
Quantity |
Expected return |
Volatility |
Close price |
Weight |
Share in alloc |
Date From |
Date To |
|---|---|---|---|---|---|---|---|---|---|
|
4 |
MSFT |
8 |
0.263 |
0.265 |
415.55 |
3.14e-01 |
3.33e-01 |
2013-01-02 |
2024-08-22 |
|
1 |
AAPL |
5 |
0.233 |
0.282 |
224.53 |
1.04e-01 |
1.13e-01 |
2013-01-02 |
2024-08-22 |
|
6 |
UNH |
4 |
0.225 |
0.250 |
578.72 |
2.42e-01 |
2.32e-01 |
2013-01-02 |
2024-08-22 |
|
5 |
NOC |
4 |
0.189 |
0.234 |
509.63 |
2.26e-01 |
2.04e-01 |
2013-01-02 |
2024-08-22 |
|
2 |
ABBV |
2 |
0.160 |
0.264 |
196.37 |
2.97e-02 |
3.94e-02 |
2013-01-02 |
2024-08-22 |
|
3 |
KR |
15 |
0.126 |
0.272 |
52.22 |
7.59e-02 |
7.85e-02 |
2013-01-02 |
2024-08-22 |
All stocks:
|
# |
Symbol |
Quantity |
Expected return |
Volatility |
Close price |
Weight |
Share in alloc |
Date From |
Date To |
|---|---|---|---|---|---|---|---|---|---|
|
18 |
MSFT |
8 |
0.263 |
0.265 |
415.55 |
3.14e-01 |
3.33e-01 |
2013-01-02 |
2024-08-22 |
|
1 |
AAPL |
5 |
0.233 |
0.282 |
224.53 |
1.04e-01 |
1.13e-01 |
2013-01-02 |
2024-08-22 |
|
24 |
UNH |
4 |
0.225 |
0.250 |
578.72 |
2.42e-01 |
2.32e-01 |
2013-01-02 |
2024-08-22 |
|
15 |
MA |
0 |
0.210 |
0.261 |
468.82 |
1.80e-03 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
20 |
NOC |
4 |
0.189 |
0.234 |
509.63 |
2.26e-01 |
2.04e-01 |
2013-01-02 |
2024-08-22 |
|
14 |
LMT |
0 |
0.166 |
0.215 |
557.03 |
5.88e-03 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
7 |
HD |
0 |
0.163 |
0.234 |
365.36 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
2 |
ABBV |
2 |
0.160 |
0.264 |
196.37 |
2.97e-02 |
3.94e-02 |
2013-01-02 |
2024-08-22 |
|
11 |
JPM |
0 |
0.146 |
0.261 |
216.63 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
3 |
AXP |
0 |
0.132 |
0.292 |
247.76 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
13 |
KR |
15 |
0.126 |
0.272 |
52.22 |
7.59e-02 |
7.85e-02 |
2013-01-02 |
2024-08-22 |
|
21 |
ORCL |
0 |
0.126 |
0.264 |
138.08 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
6 |
GS |
0 |
0.121 |
0.274 |
497.75 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
4 |
CAT |
0 |
0.118 |
0.282 |
342.36 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
23 |
SBUX |
0 |
0.110 |
0.269 |
92.43 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
25 |
WMT |
0 |
0.107 |
0.201 |
75.58 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
8 |
HON |
0 |
0.106 |
0.218 |
200.14 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
16 |
MCD |
0 |
0.106 |
0.194 |
289.21 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
19 |
NKE |
0 |
0.106 |
0.285 |
83.41 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
17 |
MRK |
0 |
0.098 |
0.211 |
116.55 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
22 |
PG |
0 |
0.080 |
0.180 |
170.15 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
10 |
JNJ |
0 |
0.074 |
0.176 |
162.35 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
12 |
KO |
0 |
0.054 |
0.175 |
69.33 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
5 |
CVX |
0 |
0.024 |
0.280 |
145.73 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
|
9 |
INTC |
0 |
-0.005 |
0.332 |
20.10 |
0.00e+00 |
0.00e+00 |
2013-01-02 |
2024-08-22 |
Portfolio performance:
|
expected return |
0.22 |
|
volatility |
0.18 |
|
Sharpe ratio |
1.081 |
|
Allocation sum |
10000.00 |
|
Leftover |
23.51 |
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