2024-08-30. Optimization results for Sharpe ratio, expected return and volatility for the portfolio of 25 US blue chips.

2024-08-30. 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:

2024-08-29 22:17:27 UTC

Portfolio optimization completed at:

2024-08-29 22:17:40 UTC

Portfolio allocation:

 

Symbol

Quantity

Expected return

Volatility

Close price

Weight

Share in alloc

Date From

Date To

MSFT

7

0.261

0.265

410.60

3.03e-01

2.88e-01

2013-01-02

2024-08-28

AAPL

5

0.234

0.282

226.49

1.07e-01

1.14e-01

2013-01-02

2024-08-28

UNH

4

0.227

0.250

588.54

2.46e-01

2.36e-01

2013-01-02

2024-08-28

NOC

4

0.189

0.234

513.56

2.22e-01

2.06e-01

2013-01-02

2024-08-28

LMT

1

0.167

0.215

563.98

1.18e-02

5.65e-02

2013-01-02

2024-08-28

ABBV

1

0.159

0.264

195.40

2.59e-02

1.96e-02

2013-01-02

2024-08-28

KR

15

0.127

0.272

53.26

7.97e-02

8.01e-02

2013-01-02

2024-08-28


All stocks:

 

Symbol

Quantity

Expected return

Volatility

Close price

Weight

Share in alloc

Date From

Date To

MSFT

7

0.261

0.265

410.60

3.03e-01

2.88e-01

2013-01-02

2024-08-28

AAPL

5

0.234

0.282

226.49

1.07e-01

1.14e-01

2013-01-02

2024-08-28

UNH

4

0.227

0.250

588.54

2.46e-01

2.36e-01

2013-01-02

2024-08-28

MA

0

0.211

0.261

471.80

4.51e-03

0.00e+00

2013-01-02

2024-08-28

NOC

4

0.189

0.234

513.56

2.22e-01

2.06e-01

2013-01-02

2024-08-28

LMT

1

0.167

0.215

563.98

1.18e-02

5.65e-02

2013-01-02

2024-08-28

HD

0

0.164

0.234

372.69

0.00e+00

0.00e+00

2013-01-02

2024-08-28

ABBV

1

0.159

0.264

195.40

2.59e-02

1.96e-02

2013-01-02

2024-08-28

JPM

0

0.147

0.260

221.29

0.00e+00

0.00e+00

2013-01-02

2024-08-28

AXP

0

0.135

0.292

257.09

0.00e+00

0.00e+00

2013-01-02

2024-08-28

KR

15

0.127

0.272

53.26

7.97e-02

8.01e-02

2013-01-02

2024-08-28

ORCL

0

0.126

0.264

137.88

0.00e+00

0.00e+00

2013-01-02

2024-08-28

GS

0

0.122

0.273

503.33

0.00e+00

0.00e+00

2013-01-02

2024-08-28

CAT

0

0.120

0.282

348.20

0.00e+00

0.00e+00

2013-01-02

2024-08-28

SBUX

0

0.113

0.269

95.30

0.00e+00

0.00e+00

2013-01-02

2024-08-28

HON

0

0.109

0.218

204.99

0.00e+00

0.00e+00

2013-01-02

2024-08-28

WMT

0

0.108

0.201

76.08

0.00e+00

0.00e+00

2013-01-02

2024-08-28

MCD

0

0.105

0.194

287.05

0.00e+00

0.00e+00

2013-01-02

2024-08-28

NKE

0

0.105

0.285

82.79

0.00e+00

0.00e+00

2013-01-02

2024-08-28

MRK

0

0.098

0.211

117.40

0.00e+00

0.00e+00

2013-01-02

2024-08-28

PG

0

0.080

0.180

169.06

0.00e+00

0.00e+00

2013-01-02

2024-08-28

JNJ

0

0.075

0.175

163.92

0.00e+00

0.00e+00

2013-01-02

2024-08-28

AA

0

0.035

0.502

32.09

0.00e+00

0.00e+00

2013-01-02

2024-08-28

CVX

0

0.024

0.280

146.00

0.00e+00

0.00e+00

2013-01-02

2024-08-28

INTC

0

-0.007

0.332

19.61

0.00e+00

0.00e+00

2013-01-02

2024-08-28


Portfolio performance:

expected return

0.219

volatility

0.179

Sharpe ratio

1.083

Allocation sum

10000.00

Leftover

26.67

 


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