Portfolio Visualizer Efficient Frontier

Report Parameters

Start Date 01/01/2012

End Date 12/31/2019
Resampled Inputs No

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Efficient Frontier #1 Assets

# Asset CAGR Expected Return Standard Deviation Sharpe Ratio Min. Weight Max. Weight
1 Autodesk, Inc. (ADSK) 25.23% 31.69% 32.50% 0.955 0.00% 100.00%
2 Alphabet Inc. (GOOGL) 19.44% 21.79% 20.32% 1.039 0.00% 100.00%
3 American Express Company (AXP) 14.53% 16.55% 18.55% 0.856 0.00% 100.00%
4 Apple Inc. (AAPL) 24.66% 29.00% 26.54% 1.067 0.00% 100.00%
5 Coca-Cola Company (KO) 9.24% 10.20% 13.24% 0.719 0.00% 100.00%
6 FedEx Corporation (FDX) 8.60% 11.68% 23.29% 0.473 0.00% 100.00%
7 Intel Corporation (INTC) 15.42% 17.92% 21.05% 0.819 0.00% 100.00%
8 Microsoft Corporation (MSFT) 28.35% 30.85% 20.22% 1.492 0.00% 100.00%
9 Nike, Inc. (NKE) 21.14% 23.63% 20.40% 1.125 0.00% 100.00%
10 Verizon Communications Inc. (VZ) 10.36% 11.82% 16.42% 0.679 0.00% 100.00%
11 PPG Industries, Inc. (PPG) 17.52% 19.50% 18.69% 1.008 0.00% 100.00%
12 Pfizer, Inc. (PFE) 11.63% 12.88% 15.16% 0.805 0.00% 100.00%
13 Electronic Arts Inc. (EA) 22.94% 29.29% 32.76% 0.873 0.00% 100.00%
14 Caterpillar, Inc. (CAT) 9.40% 12.87% 25.16% 0.485 0.00% 100.00%
15 AutoZone, Inc. (AZO) 17.63% 19.51% 18.05% 1.043 0.00% 100.00%
16 Air Products and Chemicals, Inc. (APD) 17.61% 19.22% 16.95% 1.094 0.00% 100.00%
17 Best Buy Co., Inc. (BBY) 21.70% 30.80% 38.20% 0.789 0.00% 100.00%
18 CVS Health Corporation (CVS) 10.02% 12.68% 21.96% 0.547 0.00% 100.00%
19 Amazon.com, Inc. (AMZN) 34.45% 39.40% 27.76% 1.395 0.00% 100.00%
20 J P Morgan Chase & Co (JPM) 22.88% 25.96% 22.44% 1.127 0.00% 100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (0.68% annualized).

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Efficient Frontier #2 Assets

# Asset CAGR Expected Return Standard Deviation Sharpe Ratio Min. Weight Max. Weight
1 Autodesk, Inc. (ADSK) 25.23% 31.69% 32.50% 0.955 0.00% 100.00%
2 Alphabet Inc. (GOOGL) 19.44% 21.79% 20.32% 1.039 0.00% 100.00%
3 FedEx Corporation (FDX) 8.60% 11.68% 23.29% 0.473 0.00% 100.00%
4 Intel Corporation (INTC) 15.42% 17.92% 21.05% 0.819 0.00% 100.00%
5 Microsoft Corporation (MSFT) 28.35% 30.85% 20.22% 1.492 0.00% 100.00%
6 Verizon Communications Inc. (VZ) 10.36% 11.82% 16.42% 0.679 0.00% 100.00%
7 Electronic Arts Inc. (EA) 22.94% 29.29% 32.76% 0.873 0.00% 100.00%
8 Caterpillar, Inc. (CAT) 9.40% 12.87% 25.16% 0.485 0.00% 100.00%
9 Amazon.com, Inc. (AMZN) 34.45% 39.40% 27.76% 1.395 0.00% 100.00%
10 J P Morgan Chase & Co (JPM) 22.88% 25.96% 22.44% 1.127 0.00% 100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (0.68% annualized).

EF #1 Tangency Portfolio

Ticker Name Allocation

AAPL Apple Inc. 6.51%
MSFT Microsoft Corporation 18.91%
NKE Nike, Inc. 13.42%
VZ Verizon Communications Inc. 12.03%
EA Electronic Arts Inc. 11.18%
AZO AutoZone, Inc. 17.55%
APD Air Products and Chemicals, Inc. 0.39%
BBY Best Buy Co., Inc. 0.98%
AMZN Amazon.com, Inc. 9.05%
JPM J P Morgan Chase & Co 9.99%

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EF #2 Tangency Portfolio

Ticker Name Allocation

MSFT Microsoft Corporation 28.48%
VZ Verizon Communications Inc. 23.29%
EA Electronic Arts Inc. 14.78%
AMZN Amazon.com, Inc. 15.94%
JPM J P Morgan Chase & Co 17.51%

EF #2 Asset Correlations

Name Ticker ADSK GOOGL FDX INTC MSFT VZ EA CAT AMZN JPM
Autodesk, Inc. ADSK 1.00 0.31 0.42 0.41 0.45 -0.01 0.16 0.49 0.47 0.42
Alphabet Inc. GOOGL 0.31 1.00 0.29 0.20 0.41 0.18 0.34 0.19 0.52 0.25
FedEx Corporation FDX 0.42 0.29 1.00 0.34 0.36 0.11 0.10 0.51 0.41 0.50
Intel Corporation INTC 0.41 0.20 0.34 1.00 0.54 0.18 0.05 0.44 0.26 0.30
Microsoft Corporation MSFT 0.45 0.41 0.36 0.54 1.00 0.22 0.08 0.45 0.40 0.46
Verizon Communications Inc. VZ -0.01 0.18 0.11 0.18 0.22 1.00 -0.15 0.03 0.06 -0.02
Electronic Arts Inc. EA 0.16 0.34 0.10 0.05 0.08 -0.15 1.00 0.12 0.31 0.02
Caterpillar, Inc. CAT 0.49 0.19 0.51 0.44 0.45 0.03 0.12 1.00 0.30 0.46
Amazon.com, Inc. AMZN 0.47 0.52 0.41 0.26 0.40 0.06 0.31 0.30 1.00 0.33
J P Morgan Chase & Co JPM 0.42 0.25 0.50 0.30 0.46 -0.02 0.02 0.46 0.33 1.00
Based on monthly returns from Jan 2012 to Dec 2019

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Notes:
• Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
• Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
• All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
• Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future
performance.
• The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
• The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
• The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
• Historical asset statistics are based on monthly returns from Jan 2012 to Dec 2019
• The efficient frontier is based on the monthly returns, volatilities, and correlations of the specified assets
• The displayed standard deviation and expected return in the efficient frontier are annualized from the monthly returns
• Ex-ante Sharpe Ratio for the efficient frontier data points is calculated using historical 3-month treasury bill returns as the risk free rate

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