Portfolio Optimization

Optimized portfolios present asset allocations constructed to achieve specific investment objectives, such as maximizing the Sharpe ratio, minimizing volatility, or controlling risk through drawdown and tail-risk measures. The strategies are derived from different optimization frameworks, including mean-variance, downside-risk, and risk parity. Each optimization targets the most efficient allocation under its chosen definition of risk and return.

Optimized Portfolios Overview

Optimized Portfolios Metrics

Cumulative Returns

The asset analysis provides key metrics for each asset, including returns, volatility, risk-adjusted ratios, and cross-asset correlations and covariances. This analysis highlights individual asset risk characteristics and their contribution to overall portfolio diversification.

Asset Metrics

Asset Correlations

Risk Parity allocates assets so that each contributes equally to total portfolio risk rather than capital. Using Hierarchical Risk Parity, assets are grouped by correlation and risk is distributed across clusters to reduce concentration. By balancing risk contributions, this approach improves diversification and produces more stable, resilient portfolios.

Risk Contribution

The Efficient Frontier shows the set portfolio allocations portfolios that deliver the highest expected return for a given level of risk (or the lowest risk for a given return) based on the Markowitz mean-variance framework. Portfolios on the frontier represent optimal risk-return trade-offs and dominate all portfolios below it.

Efficient Frontier

Efficient Frontier Metrics