Mean-Variance Optimization
Maximizes returns for your chosen risk level using historical data.
Risk Parity
Balances risk equally across all assets instead of capital.
HRP Optimization
Groups similar assets and allocates risk within clusters.
HERC Optimization
Balances risk contribution equally across asset groups.
Your portfolio is currently empty. You can import holdings, add them manually, or start with a popular portfolio.
My Portfolios
Optimization settings
Objective
Target Return
%
Risk Free Rate
The minimum return you'd expect without taking any risk
%
Reoptimize Frequency
See how your portfolio would have performed if you run optimization on a regular schedule
Optimization Date
Results after this date show real, out-of-sample performance
Training Window
How much historical data is used to calculate optimal weights
Correlated Assets
Automatically removes assets that move too similarly to improve diversification
Constraints
Set minimum and maximum allocation limits for each asset
%
%
Benchmark
Compare your optimized portfolio against a market index
Optimal Asset Allocation
Click Calculate to get resultsKey Improvements
Portfolio Performance
The chart shows the growth of an initial investment of $10,000 in Optimized Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
Click Calculate to get resultsAllocation Over Time
Click Calculate to get resultsClick Calculate to get resultsPortfolio Drawdowns
Click Calculate to get resultsPortfolio Volatility
Click Calculate to get resultsAsset Correlations Table
Click Calculate to get resultsHow to choose the right optimization objective
Choosing the right objective for your portfolio optimization depends on your investment goals, risk tolerance, and investment horizon. Consider the following factors when selecting an objective:
Risk tolerance: Assess your level of comfort with fluctuations in the value of your investments. If you're risk-averse, objectives like minimizing volatility or CVaR might be more suitable. Or consider maximizing quadratic utility or Sharpe ratio if you're willing to take on higher risk for potentially higher returns.
Investment goals: Align the objective with your specific financial goals. For example, if you're saving for a long-term goal like retirement, you might focus on maximizing the Sharpe ratio to achieve higher risk-adjusted returns. Minimizing volatility could be a better choice if you're more concerned with preserving capital.
Investment horizon: Consider the time frame of your investments. Longer investment horizons often allow for greater risk-taking, as markets tend to fluctuate over short periods but exhibit long-term growth trends. Shorter horizons may require a more conservative approach, such as minimizing volatility.
Diversification: Ensure your portfolio includes positions diversified across different asset classes, sectors, or regions. This can help mitigate risk, create a more resilient portfolio, and achieve better optimization results.
Remember, there is no one-size-fits-all approach to choosing an objective. Understanding your financial goals, risk appetite, and investment horizon is essential to make the best decision for your unique situation.