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Minimum Variance: closed-form solution

Here is a simple minimum variance weighting scheme used on 2 asset classes stock and bond. Comments, suggestions and questions are welcome.

Clone Algorithm
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Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
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Max Drawdown
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Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 57941721dd889f0ff9782d36
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1 response

Georges, I would measure this against an equal weight, random weight, and the most popular 60/40 allocation, and see how it fares. I think that the complexity in this case is unjustified, when compared to the other above mentioned allocations/calculations.

Also, I wonder if your returns can be volatility adjusted to SPY (Vol=16), by using a bit of leverage...