2024-09-07. Optimization results for Sharpe ratio, expected return and volatility for the portfolio of 25 US blue chips.
2024-09-07. 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: | 2024-09-07 05:04:58 UTC |
Portfolio optimization completed at: | 2024-09-07 05:05:10 UTC |
Portfolio allocation:
Symbol | Quantity | Expected return | Volatility | Close price | Weight | Share in alloc | Date From | Date To |
|---|---|---|---|---|---|---|---|---|
MSFT | 7 | 0.278 | 0.265 | 401.70 | 2.70e-01 | 2.86e-01 | 2013-01-02 | 2024-09-06 |
AAPL | 4 | 0.246 | 0.282 | 220.82 | 8.49e-02 | 8.99e-02 | 2013-01-02 | 2024-09-06 |
UNH | 3 | 0.243 | 0.250 | 596.88 | 2.05e-01 | 1.82e-01 | 2013-01-02 | 2024-09-06 |
NOC | 3 | 0.207 | 0.233 | 515.00 | 1.37e-01 | 1.57e-01 | 2013-01-02 | 2024-09-06 |
ABBV | 4 | 0.197 | 0.263 | 193.40 | 8.96e-02 | 7.87e-02 | 2013-01-02 | 2024-09-06 |
LMT | 2 | 0.196 | 0.215 | 566.63 | 1.24e-01 | 1.15e-01 | 2013-01-02 | 2024-09-06 |
KR | 17 | 0.145 | 0.272 | 52.27 | 8.90e-02 | 9.04e-02 | 2013-01-02 | 2024-09-06 |
All stocks:
Symbol | Quantity | Expected return | Volatility | Close price | Weight | Share in alloc | Date From | Date To |
|---|---|---|---|---|---|---|---|---|
MSFT | 7 | 0.278 | 0.265 | 401.70 | 2.70e-01 | 2.86e-01 | 2013-01-02 | 2024-09-06 |
AAPL | 4 | 0.246 | 0.282 | 220.82 | 8.49e-02 | 8.99e-02 | 2013-01-02 | 2024-09-06 |
UNH | 3 | 0.243 | 0.250 | 596.88 | 2.05e-01 | 1.82e-01 | 2013-01-02 | 2024-09-06 |
MA | 0 | 0.217 | 0.261 | 476.12 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
NOC | 3 | 0.207 | 0.233 | 515.00 | 1.37e-01 | 1.57e-01 | 2013-01-02 | 2024-09-06 |
ABBV | 4 | 0.197 | 0.263 | 193.40 | 8.96e-02 | 7.87e-02 | 2013-01-02 | 2024-09-06 |
LMT | 2 | 0.196 | 0.215 | 566.63 | 1.24e-01 | 1.15e-01 | 2013-01-02 | 2024-09-06 |
HD | 0 | 0.180 | 0.234 | 360.05 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
JPM | 0 | 0.175 | 0.260 | 212.46 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
KR | 17 | 0.145 | 0.272 | 52.27 | 8.90e-02 | 9.04e-02 | 2013-01-02 | 2024-09-06 |
AXP | 0 | 0.143 | 0.292 | 244.06 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
CAT | 0 | 0.141 | 0.282 | 329.36 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
ORCL | 0 | 0.141 | 0.263 | 141.81 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
MRK | 0 | 0.133 | 0.211 | 117.84 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
GS | 0 | 0.132 | 0.273 | 479.61 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
WMT | 0 | 0.132 | 0.200 | 76.64 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
MCD | 0 | 0.131 | 0.194 | 289.51 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
HON | 0 | 0.123 | 0.218 | 198.13 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
SBUX | 0 | 0.122 | 0.269 | 91.15 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
NKE | 0 | 0.116 | 0.285 | 80.63 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
PG | 0 | 0.109 | 0.179 | 175.59 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
JNJ | 0 | 0.098 | 0.175 | 164.38 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
CVX | 0 | 0.063 | 0.280 | 138.56 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
AA | 0 | 0.028 | 0.502 | 28.53 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
INTC | 0 | 0.011 | 0.334 | 18.89 | 0.00e+00 | 0.00e+00 | 2013-01-02 | 2024-09-06 |
Portfolio performance:
expected return | 0.229 |
volatility | 0.172 |
Sharpe ratio | 1.188 |
Allocation sum | 10000.00 |
Leftover | 173.73 |
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