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Portfolio Optimization Results

Go Back Strategy Start Date End Date Yearly mean return Yearly volatility Yearly VaR Max drawdown Sharpe ratio Sortino ratio
Go Back Unoptimized portfolio 30-11-2014 26-12-2023 1.27% 4.21% -8.14% -15.47% -.284 -.373
Strategy benefits
Description
'Maximize Portfolio Return' is an investment strategy focused on achieving the highest possible returns on investments. It aims to grow wealth through higher gains and can be advantageous for long-term growth and retirement planning. However, it involves higher risk, potential market volatility, and may require active management and monitoring. It's essential to balance this strategy with individual financial goals, risk tolerance, and diversification for a well-rounded investment approach.
Strategy Pros
  • Higher Returns More
    By focusing on maximizing returns, you have the potential to earn more money on your investments, which can help you reach your financial goals faster.
  • Wealth Accumulation More
    Over time, higher returns can lead to significant wealth accumulation, allowing you to build a substantial investment portfolio.
  • Retirement Planning More
    Maximizing returns can be particularly advantageous for retirement planning, as it can help grow your savings and provide a more comfortable retirement.
  • Investment Growth More
    This strategy prioritizes growth, making it suitable for investors with a long-term outlook and higher risk tolerance.
Strategy Cons
  • Increased Risk More
    Strategies that aim to maximize returns often involve higher risk investments. Riskier assets can experience larger fluctuations, potentially leading to significant losses.
  • Market Volatility More
    In pursuit of higher returns, you may need to invest in more volatile assets, subjecting your portfolio to market ups and downs.
  • Lack of Diversification More
    Focusing solely on returns may lead to an over-concentration in certain assets, sectors, or regions, leaving your portfolio vulnerable to specific risks.
  • Emotional Decision-making More
    The pursuit of higher returns can tempt investors to make impulsive decisions driven by fear or greed, which can negatively impact their portfolio.
...
Strategy benefits
  • Decreased Yearly Volatility -0,00 %
Description
'Minimize Variance' is an investment strategy aimed at reducing fluctuations in the value of a portfolio. By prioritizing stability and lower risk, this approach seeks to provide consistent and predictable returns over time. It can be suitable for risk-averse investors looking to preserve capital and maintain a sense of financial security. However, it may come with the trade-off of potentially lower returns compared to higher-variance investments.
Strategy Pros
  • Stability More
    By minimizing variance, the portfolio's value tends to experience smaller swings in both positive and negative directions, providing a sense of stability.
  • Lower Risk More
    Lower variance typically means lower risk, as the portfolio is less likely to experience significant losses during market downturns.
  • Consistent Returns More
    A portfolio with reduced variance may generate more consistent returns over time, which can be important for long-term financial planning.
  • Suitable for Conservative Investors More
    This strategy is often favored by conservative or risk-averse investors who prioritize capital preservation and are uncomfortable with high levels of volatility.
Strategy Cons
  • Lower Potential Returns More
    While minimizing variance reduces risk, it may also limit the potential for high returns. Investments with higher expected returns often come with higher variance.
  • Opportunity Cost More
    Emphasizing low variance investments could mean missing out on other opportunities that may have higher potential returns but higher risk.
  • Inflation Risk More
    If the portfolio's returns are consistently lower than inflation, it may not keep pace with rising costs of living, potentially eroding purchasing power over time.
  • Trade-offs with Other Objectives More
    Minimizing variance may conflict with other investment goals, such as maximizing growth or generating income.
...
Strategy benefits
  • Decreased Yearly Volatility -0,00 %
Description
'Minimize Maximum Drawdown' is an investment strategy focused on reducing the largest potential loss a portfolio could experience from its peak value to its lowest point. The goal is to preserve capital and provide a smoother investment experience by limiting the impact of market downturns. However, this approach may come with the trade-off of potentially lower returns and requires careful consideration of asset allocation and risk management.
Strategy Pros
  • Capital Preservation More
    By minimizing maximum drawdown, the strategy seeks to protect your investment capital during market downturns, reducing the risk of significant losses.
  • Less Recovery Time More
    Smaller drawdowns mean it takes less time for your portfolio to recover to its previous peak value after a market decline.
  • Emotional Comfort More
    Investors may feel more comfortable and confident during turbulent market conditions, knowing that the strategy is designed to limit the worst-case scenario.
  • Long-Term Growth More
    Minimizing drawdowns can support long-term growth by preventing severe setbacks that can take a toll on overall portfolio performance.
Strategy Cons
  • Potential Lower Returns More
    To minimize drawdowns, the strategy may allocate more to lower-risk assets, potentially limiting the portfolio's potential for higher returns during bull markets.
  • Opportunity Cost More
    By avoiding certain riskier assets, the strategy may miss out on potential gains from those investments during periods of market outperformance.
  • Complexity More
    Implementing this strategy may require more sophisticated investment techniques or constant monitoring, making it more complex for individual investors.
  • Market Timing Challenges More
    It can be difficult to accurately predict market downturns, so timing the shift to more defensive assets can be challenging.
...
Strategy benefits
Description
'Maximize Sharpe Ratio' is an investment strategy focused on achieving the best risk-adjusted returns. It aims to optimize the balance between potential gains and the level of risk taken in the portfolio. By considering the historical performance and volatility of investments, the strategy seeks to identify assets and asset allocations that offer the most efficient trade-off between risk and reward. However, implementing this strategy may require complex calculations and careful consideration of individual financial goals and risk tolerance.
Strategy Pros
  • Risk-Adjusted Returns More
    The strategy prioritizes investments that offer higher returns relative to their level of risk, potentially providing a better balance between reward and risk.
  • Improved Performance More
    By maximizing the Sharpe Ratio, the portfolio seeks to achieve more efficient performance compared to strategies solely focused on returns or risk.
  • Optimal Asset Allocation More
    The approach encourages diversification and allocation among assets with different risk profiles, aiming to achieve the best risk-adjusted returns.
  • Better Decision Making More
    Investors can use the Sharpe Ratio to compare different investment options and make more informed choices about their portfolio.
Strategy Cons
  • Complexity More
    Implementing this strategy may involve sophisticated mathematical calculations and continuous monitoring of portfolio performance.
  • Data Sensitivity More
    The Sharpe Ratio is dependent on historical data, and changes in market conditions may affect the accuracy of the ratio.
  • Potential Shortcomings More
    The Sharpe Ratio is based on past performance and may not accurately predict future returns or risks.
  • Focus on Volatility More
    The Sharpe Ratio emphasizes volatility as a measure of risk, which may not fully capture all forms of risk, such as systemic or event-driven risks.
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Strategy benefits
Description
'Maximize Sortino Ratio' is an investment strategy that focuses on optimizing risk-adjusted returns with an emphasis on downside risk. It aims to select investments that provide better protection during market downturns by considering only negative volatility below a specified threshold. This approach is suitable for risk-averse investors seeking to manage downside risk and preserve capital, but it may require complex calculations and may potentially limit potential gains during bullish market conditions.
Strategy Pros
  • Downside Risk Mitigation More
    The strategy prioritizes investments that offer higher returns relative to the downside risk, which is the risk of losses below a specified threshold. This can provide better protection during market downturns.
  • Focused Risk Management More
    By emphasizing downside volatility, the approach aims to provide a more targeted risk management strategy to protect capital during adverse market conditions.
  • Enhanced Risk Assessment More
    The Sortino Ratio allows investors to assess risk in a way that is more relevant for managing potential losses, as it does not penalize for upside volatility.
  • Suitable for Risk-Averse Investors More
    This strategy may appeal to investors with a lower risk tolerance, as it emphasizes minimizing the risk of significant losses.
Strategy Cons
  • Data Sensitivity More
    Similar to other risk-adjusted measures, the Sortino Ratio relies on historical data and may not fully predict future performance.
  • Complexity: More
    Implementing this strategy may involve complex calculations and ongoing monitoring, making it less accessible to some individual investors.
  • Focus on Downside Only More
    The Sortino Ratio does not consider upside volatility, potentially overlooking opportunities for higher returns.
  • Potential for Lower Returns More
    Emphasizing downside risk may lead to a more conservative portfolio, which could limit potential gains during bullish market conditions.
...
Visualize Strategy Start Date End Date Yearly mean return Yearly volatility Yearly VaR Max drawdown Sharpe ratio Sortino ratio
Open Strategy Maximize Return 30-11-2014 26-12-2023
1.27%
.%
4.21%
.%
-8.14%
.%
-15.47%
.%
-.284
.0
-.373
.0
Open Strategy Minimize Variance 30-11-2014 26-12-2023
1.27%
-.%
4.21%
-.%
-8.14%
-.%
-15.47%
.%
-.284
.0
-.373
.0
Open Strategy Minimize Max Drawdown 30-11-2014 26-12-2023
1.27%
-.%
4.21%
-.%
-8.14%
-.%
-15.47%
.%
-.284
.0
-.373
.0
Open Strategy Maximize Sharpe Ratio 30-11-2014 26-12-2023
1.27%
.%
4.21%
.%
-8.14%
.%
-15.47%
.%
-.284
.0
-.373
.0
Open Strategy Maximize Sortino Ratio 30-11-2014 26-12-2023
.77%
-.51%
4.88%
+.67%
-10.07%
-1.93%
-20.45%
-4.98%
-.359
-.075
-.515
-.142