Portfolio Optimization
Create a professionally optimized investment portfolio based on your risk profile
Risk Assessment
Let's understand your investment preferences to create a portfolio that matches your risk tolerance.
Investment Selection
0 items selected
Hold Ctrl/Cmd or Shift to select multiple options. Tap and hold on mobile.
Enter additional tickers not in the list above, separated by commas
Default: January 1, 2010
Default: Yesterday's date
Optimization Strategy
Choose how you want your portfolio to be optimized based on your financial goals.
Portfolio Configuration
How often the portfolio is reset to target weights
Diversification Settings
When enabled, assets are grouped based on correlation.
Clustering groups similar assets (based on historical correlation) and selects top performers from each group. This enhances diversification while aiming for strong performance.
- More clusters → Potentially more diverse groups represented.
- Higher return range → Includes more assets from each cluster (those within X% of the best performer in that cluster).
Adjusting these can fine-tune the trade-off between concentration and diversification.
More clusters = more diverse asset groups in your portfolio.
Include assets within X% of the top performer in each cluster (e.g., 25 for 25%). Higher value = more assets.
Your Optimized Portfolio
Portfolio Target Metrics
Expected Annual Return
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Expected Volatility
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Sharpe Ratio
Target Asset Allocation
| Asset | Weight |
|---|
Historical Backtest Performance
Backtesting Metrics
Annualized Return
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Annualized Volatility
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Sharpe Ratio
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Total Return
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Final Asset Allocation (End of Backtest)
| Asset | Weight |
|---|
Portfolio Cumulative Value Over Time
Risk Analysis: Top 5 Drawdowns
| Drawdown (%) | Peak Date | Trough Date | Recovery Date | Days (Years) to Recover / Ongoing |
|---|
About This Tool
This tool uses modern portfolio theory and advanced optimization techniques to help you build diversified investment portfolios based on historical data analysis.
- Risk Profiling: Assesses your risk tolerance to suggest volatility constraints.
- Asset Selection: Allows selection of ETFs and stocks.
- Clustering (Optional): Groups similar assets to improve diversification when selecting representatives.
- Optimization: Mathematically finds asset weights based on your chosen strategy (e.g., Max Sharpe, Min Volatility, Risk Parity).
- Backtesting: Simulates historical performance, showing cumulative returns, metrics, and drawdowns.
Key Optimization Strategies Explained
- Max Return (Risk Profile/Target Vol): Aims for the highest return given a specific risk (volatility) constraint.
- Target Return: Aims for a specific return level while minimizing risk.
- Min Volatility: Constructs the portfolio with the lowest possible historical risk.
- Max Sharpe Ratio: Seeks the highest risk-adjusted return (Return / Volatility).
- Risk Parity: Balances risk contribution from each asset equally.
- Expected Shortfall (CVaR): Minimizes potential extreme losses (tail risk).
- Bayesian (Ledoit-Wolf): Uses robust statistics to estimate covariance, potentially improving stability.
- Hybrid Risk Parity-Momentum: Combines Risk Parity with recent performance trends (momentum).