Optimise ·
Optimise
Current vs optimal weights
| Asset | Now | Optimal |
|---|---|---|
Efficient frontier
Each point on the line is the lowest-risk mix for that return. The gold dot is optimal; the dark dot is your What-If mix.
What if?
- Return
- Volatility
- Sharpe
Show the maths
Prices as of . Markowitz mean-variance optimisation over one year of daily returns: maximise the Sharpe ratio (0% risk-free rate), long only, weights between 0% and 100% summing to 100%, solved with SLSQP.
The frontier minimises volatility for 20 target returns between the lowest and highest single-asset returns. Optimal Sharpe ratio: .
Optimisation trusts past averages, which are noisy. Small changes in history can move the weights a lot, so treat them as a starting point, not a recommendation.
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