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    The document describes an efficient frontier analysis of 20 assets from 2012-2019. It shows the expected return, standard deviation, and maximum/minimum weights for each asset. A tangency portfolio is recommended with a 25.34% expected return and 11.96% expected volatility, having the highest Sharpe ratio of 2.06. The analysis also generates the efficient frontier graphing expected return against risk for various asset allocation portfolios.

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    Single-Efficient-Frontier

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    The document describes an efficient frontier analysis of 20 assets from 2012-2019. It shows the expected return, standard deviation, and maximum/minimum weights for each asset. A tangency portfolio is recommended with a 25.34% expected return and 11.96% expected volatility, having the highest Sharpe ratio of 2.06. The analysis also generates the efficient frontier graphing expected return against risk for various asset allocation portfolios.

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    © All Rights Reserved
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    11 views6 pages

    Report Parameters: Start Date End Date Resampled Inputs

    Uploaded by

    Mahi
    The document describes an efficient frontier analysis of 20 assets from 2012-2019. It shows the expected return, standard deviation, and maximum/minimum weights for each asset. A tangency portfolio is recommended with a 25.34% expected return and 11.96% expected volatility, having the highest Sharpe ratio of 2.06. The analysis also generates the efficient frontier graphing expected return against risk for various asset allocation portfolios.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    of 6

    Portfolio Visualizer Efficient Frontier

    Report Parameters

    Start Date 01/01/2012


    End Date 12/31/2019
    Resampled Inputs No

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    Portfolio Visualizer Efficient Frontier

    Efficient Frontier 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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    Portfolio Visualizer Efficient Frontier

    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%

    Portfolio Statistics

    Portfolio Expected Return Expected Volatility Sharpe Ratio


    Tangency Portfolio 25.34% 11.96% 2.06

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    Portfolio Visualizer Efficient Frontier

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    Portfolio Visualizer Efficient Frontier

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    Portfolio Visualizer Efficient Frontier
    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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