id stringlengths 20 20 | template stringclasses 6
values | complexity int64 1 3 | split stringclasses 1
value | market_regime stringclasses 1
value | asset_class stringclasses 1
value | assets listlengths 1 4 | decision_date timestamp[s]date 2015-02-05 00:00:00 2022-12-28 00:00:00 | context_summary stringlengths 52 153 | question stringlengths 245 9.63k | answer stringlengths 2 63 | answer_numeric float64 -3.07 9.2 | explanation stringlengths 100 240 | metadata unknown |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
T5_all_20160428_0607 | T5 | 3 | train | sideways | all | [
"USMV",
"BTC-USD",
"DBC",
"IGOV"
] | 2016-04-28T00:00:00 | 4-asset optimization. Max-Sharpe: 5.424. Portfolio: return=45.23%, vol=7.60%. Weights: w_USMV=0.4333, w_BTC-USD=0.0036, w_DBC=0.3143, w_IGOV=0.2488. | Assets: USMV, BTC-USD, DBC, IGOV
Annualized mean returns: USMV:0.3315, BTC-USD:-0.0762, DBC:0.8056, IGOV:0.2240
Covariance matrix (annualized):
[[0.007179, -0.004885, 0.001692, 0.001845], [-0.004885, 0.040788, 0.001257, -0.000215], [0.001692, 0.001257, 0.030983, 0.001017], [0.001845, -0.000215, 0.001017, 0.005868]]
Ris... | w_USMV=0.4333, w_BTC-USD=0.0036, w_DBC=0.3143, w_IGOV=0.2488 | 5.423902 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=0.4333, w_BTC-USD=0.0036, w_DBC=0.3143, w_IGOV=0.2488
Portfolio annualized return: 45.23%, volatility: 7.60%
Sharpe ratio: (0.4523 - 0.0400) / 0.0760 = 5.4239 | {
"weights": {
"USMV": 0.4333,
"BTC-USD": 0.0036000000000000003,
"DBC": 0.3143,
"IGOV": 0.24880000000000002
},
"sharpe_ratio": 5.4239,
"portfolio_return": 0.45226099999999997,
"portfolio_vol": 0.07600799999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars"... |
T5_all_20210720_0612 | T5 | 3 | train | sideways | all | [
"FXI",
"LINK-USD",
"USO",
"SCHH"
] | 2021-07-20T00:00:00 | 4-asset optimization. Max-Sharpe: 2.944. Portfolio: return=44.28%, vol=13.68%. Weights: w_FXI=0.0000, w_LINK-USD=0.0000, w_USO=0.1645, w_SCHH=0.8355. | Assets: FXI, LINK-USD, USO, SCHH
Annualized mean returns: FXI:-0.2288, LINK-USD:-4.9805, USO:0.5170, SCHH:0.4282
Covariance matrix (annualized):
[[0.044173, 0.009497, 0.009403, 0.007561], [0.009497, 1.737457, -0.013104, -0.001881], [0.009403, -0.013104, 0.074371, 0.011888], [0.007561, -0.001881, 0.011888, 0.019255]]
Ri... | w_FXI=0.0000, w_LINK-USD=0.0000, w_USO=0.1645, w_SCHH=0.8355 | 2.944058 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_LINK-USD=0.0000, w_USO=0.1645, w_SCHH=0.8355
Portfolio annualized return: 44.28%, volatility: 13.68%
Sharpe ratio: (0.4428 - 0.0400) / 0.1368 = 2.9441 | {
"weights": {
"FXI": 0,
"LINK-USD": 0,
"USO": 0.1645,
"SCHH": 0.8355
},
"sharpe_ratio": 2.9441,
"portfolio_return": 0.442822,
"portfolio_vol": 0.136826,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190718_0614 | T5 | 3 | train | sideways | all | [
"QUAL",
"XRP-USD",
"TLT",
"CORN"
] | 2019-07-18T00:00:00 | 4-asset optimization. Max-Sharpe: 4.313. Portfolio: return=31.98%, vol=6.49%. Weights: w_QUAL=0.3980, w_XRP-USD=0.0000, w_TLT=0.4919, w_CORN=0.1101. | Assets: QUAL, XRP-USD, TLT, CORN
Annualized mean returns: QUAL:0.2721, XRP-USD:-1.3730, TLT:0.3162, CORN:0.5087
Covariance matrix (annualized):
[[0.01308, -0.012125, -0.0037, 0.000966], [-0.012125, 0.417503, 0.014232, -0.015302], [-0.0037, 0.014232, 0.011152, 0.001297], [0.000966, -0.015302, 0.001297, 0.054779]]
Risk-f... | w_QUAL=0.3980, w_XRP-USD=0.0000, w_TLT=0.4919, w_CORN=0.1101 | 4.312521 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=0.3980, w_XRP-USD=0.0000, w_TLT=0.4919, w_CORN=0.1101
Portfolio annualized return: 31.98%, volatility: 6.49%
Sharpe ratio: (0.3198 - 0.0400) / 0.0649 = 4.3125 | {
"weights": {
"QUAL": 0.398,
"XRP-USD": 0,
"TLT": 0.4919,
"CORN": 0.1101
},
"sharpe_ratio": 4.3125,
"portfolio_return": 0.319843,
"portfolio_vol": 0.06489099999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210701_0616 | T5 | 3 | train | sideways | all | [
"XLF",
"SOL-USD",
"VNQ",
"SHV"
] | 2021-07-01T00:00:00 | 4-asset optimization. Max-Sharpe: 1.192. Portfolio: return=22.28%, vol=15.34%. Weights: w_XLF=0.0000, w_SOL-USD=0.0197, w_VNQ=0.9803, w_SHV=0.0000. | Assets: XLF, SOL-USD, VNQ, SHV
Annualized mean returns: XLF:0.0945, SOL-USD:0.5776, VNQ:0.2157, SHV:-0.0011
Covariance matrix (annualized):
[[0.029667, -0.036589, 0.010583, 4.1e-05], [-0.036589, 3.110099, 0.008181, 0.000214], [0.010583, 0.008181, 0.022898, 1.2e-05], [4.1e-05, 0.000214, 1.2e-05, 2e-06]]
Risk-free rate: ... | w_XLF=0.0000, w_SOL-USD=0.0197, w_VNQ=0.9803, w_SHV=0.0000 | 1.192106 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.0000, w_SOL-USD=0.0197, w_VNQ=0.9803, w_SHV=0.0000
Portfolio annualized return: 22.28%, volatility: 15.34%
Sharpe ratio: (0.2228 - 0.0400) / 0.1534 = 1.1921 | {
"weights": {
"XLF": 0,
"SOL-USD": 0.019700000000000002,
"VNQ": 0.9803000000000001,
"SHV": 0
},
"sharpe_ratio": 1.1921,
"portfolio_return": 0.22284,
"portfolio_vol": 0.15337599999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210215_0619 | T5 | 3 | train | sideways | all | [
"VEA",
"ETH-USD",
"BIL",
"TLT"
] | 2021-02-15T00:00:00 | 4-asset optimization. Max-Sharpe: 4.549. Portfolio: return=227.01%, vol=49.03%. Weights: w_VEA=0.5536, w_ETH-USD=0.4464, w_BIL=0.0000, w_TLT=0.0000. | Assets: VEA, ETH-USD, BIL, TLT
Annualized mean returns: VEA:0.3789, ETH-USD:4.6151, BIL:-0.0007, TLT:-0.4164
Covariance matrix (annualized):
[[0.020546, 0.056335, -2.1e-05, -0.005005], [0.056335, 1.034648, -9.4e-05, -0.015236], [-2.1e-05, -9.4e-05, 2e-06, -2e-06], [-0.005005, -0.015236, -2e-06, 0.01033]]
Risk-free rate... | w_VEA=0.5536, w_ETH-USD=0.4464, w_BIL=0.0000, w_TLT=0.0000 | 4.548826 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.5536, w_ETH-USD=0.4464, w_BIL=0.0000, w_TLT=0.0000
Portfolio annualized return: 227.01%, volatility: 49.03%
Sharpe ratio: (2.2701 - 0.0400) / 0.4903 = 4.5488 | {
"weights": {
"VEA": 0.5536,
"ETH-USD": 0.4464,
"BIL": 0,
"TLT": 0
},
"sharpe_ratio": 4.5488,
"portfolio_return": 2.270095,
"portfolio_vol": 0.490257,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180801_0621 | T5 | 3 | train | sideways | all | [
"EWJ",
"BNB-USD",
"WEAT",
"SHY"
] | 2018-08-01T00:00:00 | 4-asset optimization. Max-Sharpe: 0.545. Portfolio: return=29.89%, vol=47.48%. Weights: w_EWJ=0.0000, w_BNB-USD=0.6022, w_WEAT=0.3978, w_SHY=0.0000. | Assets: EWJ, BNB-USD, WEAT, SHY
Annualized mean returns: EWJ:-0.1204, BNB-USD:0.4300, WEAT:0.1004, SHY:0.0037
Covariance matrix (annualized):
[[0.010777, -0.002299, 0.009443, -0.000239], [-0.002299, 0.552108, 0.017838, 0.000138], [0.009443, 0.017838, 0.105208, -3.2e-05], [-0.000239, 0.000138, -3.2e-05, 3.8e-05]]
Risk-f... | w_EWJ=0.0000, w_BNB-USD=0.6022, w_WEAT=0.3978, w_SHY=0.0000 | 0.545283 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.0000, w_BNB-USD=0.6022, w_WEAT=0.3978, w_SHY=0.0000
Portfolio annualized return: 29.89%, volatility: 47.48%
Sharpe ratio: (0.2989 - 0.0400) / 0.4748 = 0.5453 | {
"weights": {
"EWJ": 0,
"BNB-USD": 0.6022000000000001,
"WEAT": 0.39780000000000004,
"SHY": 0
},
"sharpe_ratio": 0.5453,
"portfolio_return": 0.298888,
"portfolio_vol": 0.474776,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221021_0623 | T5 | 3 | train | sideways | all | [
"XLK",
"ETH-USD",
"XHB",
"BIL"
] | 2022-10-21T00:00:00 | 4-asset optimization. Max-Sharpe: -0.666. Portfolio: return=-36.22%, vol=60.38%. Weights: w_XLK=0.0000, w_ETH-USD=1.0000, w_XHB=0.0000, w_BIL=0.0000. | Assets: XLK, ETH-USD, XHB, BIL
Annualized mean returns: XLK:-1.0907, ETH-USD:-0.3622, XHB:-0.8919, BIL:0.0227
Covariance matrix (annualized):
[[0.090174, 0.09012, 0.081724, -3.9e-05], [0.09012, 0.364571, 0.081461, -0.000172], [0.081724, 0.081461, 0.119924, -2.6e-05], [-3.9e-05, -0.000172, -2.6e-05, 7e-06]]
Risk-free ra... | w_XLK=0.0000, w_ETH-USD=1.0000, w_XHB=0.0000, w_BIL=0.0000 | -0.666115 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLK=0.0000, w_ETH-USD=1.0000, w_XHB=0.0000, w_BIL=0.0000
Portfolio annualized return: -36.22%, volatility: 60.38%
Sharpe ratio: (-0.3622 - 0.0400) / 0.6038 = -0.6661 | {
"weights": {
"XLK": 0,
"ETH-USD": 1,
"XHB": 0,
"BIL": 0
},
"sharpe_ratio": -0.6661,
"portfolio_return": -0.36219799999999996,
"portfolio_vol": 0.603797,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220623_0627 | T5 | 3 | train | sideways | all | [
"EWJ",
"ADA-USD",
"ITB",
"GLD"
] | 2022-06-23T00:00:00 | 4-asset optimization. Max-Sharpe: -1.182. Portfolio: return=-45.47%, vol=41.86%. Weights: w_EWJ=0.0000, w_ADA-USD=0.0000, w_ITB=1.0000, w_GLD=0.0000. | Assets: EWJ, ADA-USD, ITB, GLD
Annualized mean returns: EWJ:-0.4551, ADA-USD:-4.4031, ITB:-0.4547, GLD:-0.2874
Covariance matrix (annualized):
[[0.043408, 0.140775, 0.062967, 0.007193], [0.140775, 1.466556, 0.227686, 0.006235], [0.062967, 0.227686, 0.175225, -0.007958], [0.007193, 0.006235, -0.007958, 0.022779]]
Risk-f... | w_EWJ=0.0000, w_ADA-USD=0.0000, w_ITB=1.0000, w_GLD=0.0000 | -1.181802 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.0000, w_ADA-USD=0.0000, w_ITB=1.0000, w_GLD=0.0000
Portfolio annualized return: -45.47%, volatility: 41.86%
Sharpe ratio: (-0.4547 - 0.0400) / 0.4186 = -1.1818 | {
"weights": {
"EWJ": 0,
"ADA-USD": 0,
"ITB": 1,
"GLD": 0
},
"sharpe_ratio": -1.1818,
"portfolio_return": -0.45470099999999997,
"portfolio_vol": 0.418599,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200709_0629 | T5 | 3 | train | sideways | all | [
"VTI",
"XRP-USD",
"IAU",
"LQD"
] | 2020-07-09T00:00:00 | 4-asset optimization. Max-Sharpe: 5.756. Portfolio: return=43.74%, vol=6.90%. Weights: w_VTI=0.0914, w_XRP-USD=0.0000, w_IAU=0.2153, w_LQD=0.6933. | Assets: VTI, XRP-USD, IAU, LQD
Annualized mean returns: VTI:0.6679, XRP-USD:0.4811, IAU:0.3598, LQD:0.4311
Covariance matrix (annualized):
[[0.050124, 0.029784, -0.006841, 0.006378], [0.029784, 0.189205, 0.016422, 0.006978], [-0.006841, 0.016422, 0.016482, 0.001317], [0.006378, 0.006978, 0.001317, 0.005515]]
Risk-free ... | w_VTI=0.0914, w_XRP-USD=0.0000, w_IAU=0.2153, w_LQD=0.6933 | 5.756026 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=0.0914, w_XRP-USD=0.0000, w_IAU=0.2153, w_LQD=0.6933
Portfolio annualized return: 43.74%, volatility: 6.90%
Sharpe ratio: (0.4374 - 0.0400) / 0.0690 = 5.7560 | {
"weights": {
"VTI": 0.09140000000000001,
"XRP-USD": 0,
"IAU": 0.21530000000000002,
"LQD": 0.6933
},
"sharpe_ratio": 5.756,
"portfolio_return": 0.43738000000000005,
"portfolio_vol": 0.069037,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190726_0631 | T5 | 3 | train | sideways | all | [
"XLI",
"BNB-USD",
"SCHP",
"SOYB"
] | 2019-07-26T00:00:00 | 4-asset optimization. Max-Sharpe: 3.503. Portfolio: return=20.57%, vol=4.73%. Weights: w_XLI=0.2364, w_BNB-USD=0.0075, w_SCHP=0.7131, w_SOYB=0.0430. | Assets: XLI, BNB-USD, SCHP, SOYB
Annualized mean returns: XLI:0.4111, BNB-USD:0.3200, SCHP:0.1332, SOYB:0.2604
Covariance matrix (annualized):
[[0.01943, -0.010048, 0.000447, 0.004073], [-0.010048, 0.424056, 0.003071, 0.01779], [0.000447, 0.003071, 0.001546, 0.000621], [0.004073, 0.01779, 0.000621, 0.033404]]
Risk-free... | w_XLI=0.2364, w_BNB-USD=0.0075, w_SCHP=0.7131, w_SOYB=0.0430 | 3.503262 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=0.2364, w_BNB-USD=0.0075, w_SCHP=0.7131, w_SOYB=0.0430
Portfolio annualized return: 20.57%, volatility: 4.73%
Sharpe ratio: (0.2057 - 0.0400) / 0.0473 = 3.5033 | {
"weights": {
"XLI": 0.2364,
"BNB-USD": 0.007500000000000001,
"SCHP": 0.7131000000000001,
"SOYB": 0.043000000000000003
},
"sharpe_ratio": 3.5033,
"portfolio_return": 0.205733,
"portfolio_vol": 0.047307999999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_char... |
T5_all_20200402_0636 | T5 | 3 | train | sideways | all | [
"EWJ",
"BTC-USD",
"IAU",
"IYR"
] | 2020-04-02T00:00:00 | 4-asset optimization. Max-Sharpe: 2.190. Portfolio: return=166.29%, vol=74.09%. Weights: w_EWJ=0.0000, w_BTC-USD=1.0000, w_IAU=0.0000, w_IYR=0.0000. | Assets: EWJ, BTC-USD, IAU, IYR
Annualized mean returns: EWJ:-0.8051, BTC-USD:1.6629, IAU:-0.0281, IYR:-0.7983
Covariance matrix (annualized):
[[0.0907, 0.089988, 0.00118, 0.091191], [0.089988, 0.548985, 0.036143, 0.092049], [0.00118, 0.036143, 0.048676, 0.011067], [0.091191, 0.092049, 0.011067, 0.134885]]
Risk-free rat... | w_EWJ=0.0000, w_BTC-USD=1.0000, w_IAU=0.0000, w_IYR=0.0000 | 2.190396 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.0000, w_BTC-USD=1.0000, w_IAU=0.0000, w_IYR=0.0000
Portfolio annualized return: 166.29%, volatility: 74.09%
Sharpe ratio: (1.6629 - 0.0400) / 0.7409 = 2.1904 | {
"weights": {
"EWJ": 0,
"BTC-USD": 1,
"IAU": 0,
"IYR": 0
},
"sharpe_ratio": 2.1904,
"portfolio_return": 1.662942,
"portfolio_vol": 0.740935,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201211_0638 | T5 | 3 | train | sideways | all | [
"XLY",
"BTC-USD",
"BNDX",
"REZ"
] | 2020-12-11T00:00:00 | 4-asset optimization. Max-Sharpe: 5.819. Portfolio: return=135.38%, vol=22.58%. Weights: w_XLY=0.0000, w_BTC-USD=0.4549, w_BNDX=0.4452, w_REZ=0.0999. | Assets: XLY, BTC-USD, BNDX, REZ
Annualized mean returns: XLY:0.1382, BTC-USD:2.8989, BNDX:0.0525, REZ:0.1170
Covariance matrix (annualized):
[[0.031895, 0.016109, 0.000227, 0.022356], [0.016109, 0.243874, 0.001002, -0.004503], [0.000227, 0.001002, 0.000675, -0.002711], [0.022356, -0.004503, -0.002711, 0.062504]]
Risk-f... | w_XLY=0.0000, w_BTC-USD=0.4549, w_BNDX=0.4452, w_REZ=0.0999 | 5.818658 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.0000, w_BTC-USD=0.4549, w_BNDX=0.4452, w_REZ=0.0999
Portfolio annualized return: 135.38%, volatility: 22.58%
Sharpe ratio: (1.3538 - 0.0400) / 0.2258 = 5.8187 | {
"weights": {
"XLY": 0,
"BTC-USD": 0.4549,
"BNDX": 0.44520000000000004,
"REZ": 0.0999
},
"sharpe_ratio": 5.8187,
"portfolio_return": 1.353827,
"portfolio_vol": 0.225796,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220607_0644 | T5 | 3 | train | sideways | all | [
"XLY",
"ETH-USD",
"CORN",
"SHY"
] | 2022-06-07T00:00:00 | 4-asset optimization. Max-Sharpe: -1.777. Portfolio: return=-62.40%, vol=37.36%. Weights: w_XLY=1.0000, w_ETH-USD=0.0000, w_CORN=0.0000, w_SHY=0.0000. | Assets: XLY, ETH-USD, CORN, SHY
Annualized mean returns: XLY:-0.6240, ETH-USD:-4.3754, CORN:-0.0013, SHY:-0.0029
Covariance matrix (annualized):
[[0.139579, 0.150231, 0.008641, -0.000445], [0.150231, 0.480855, 0.021282, -6.7e-05], [0.008641, 0.021282, 0.047984, 0.000642], [-0.000445, -6.7e-05, 0.000642, 0.000459]]
Risk... | w_XLY=1.0000, w_ETH-USD=0.0000, w_CORN=0.0000, w_SHY=0.0000 | -1.777178 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=1.0000, w_ETH-USD=0.0000, w_CORN=0.0000, w_SHY=0.0000
Portfolio annualized return: -62.40%, volatility: 37.36%
Sharpe ratio: (-0.6240 - 0.0400) / 0.3736 = -1.7772 | {
"weights": {
"XLY": 1,
"ETH-USD": 0,
"CORN": 0,
"SHY": 0
},
"sharpe_ratio": -1.7772000000000001,
"portfolio_return": -0.6239589999999999,
"portfolio_vol": 0.37360299999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221122_0646 | T5 | 3 | train | sideways | all | [
"XLY",
"ADA-USD",
"CSHI",
"PDBC"
] | 2022-11-22T00:00:00 | 4-asset optimization. Max-Sharpe: 1.264. Portfolio: return=5.34%, vol=1.06%. Weights: w_XLY=0.0000, w_ADA-USD=0.0000, w_CSHI=1.0000, w_PDBC=0.0000. | Assets: XLY, ADA-USD, CSHI, PDBC
Annualized mean returns: XLY:-0.7139, ADA-USD:-1.0907, CSHI:0.0534, PDBC:0.0485
Covariance matrix (annualized):
[[0.095651, 0.114904, 0.001638, 0.031672], [0.114904, 0.565591, 0.000925, 0.057591], [0.001638, 0.000925, 0.000112, 0.001204], [0.031672, 0.057591, 0.001204, 0.052926]]
Risk-f... | w_XLY=0.0000, w_ADA-USD=0.0000, w_CSHI=1.0000, w_PDBC=0.0000 | 1.26414 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.0000, w_ADA-USD=0.0000, w_CSHI=1.0000, w_PDBC=0.0000
Portfolio annualized return: 5.34%, volatility: 1.06%
Sharpe ratio: (0.0534 - 0.0400) / 0.0106 = 1.2641 | {
"weights": {
"XLY": 0,
"ADA-USD": 0,
"CSHI": 1,
"PDBC": 0
},
"sharpe_ratio": 1.2641,
"portfolio_return": 0.053387,
"portfolio_vol": 0.01059,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200908_0649 | T5 | 3 | train | sideways | all | [
"VLUE",
"MATIC-USD",
"MORT",
"LQD"
] | 2020-09-08T00:00:00 | 4-asset optimization. Max-Sharpe: 3.124. Portfolio: return=74.79%, vol=22.66%. Weights: w_VLUE=0.0235, w_MATIC-USD=0.0000, w_MORT=0.9765, w_LQD=0.0000. | Assets: VLUE, MATIC-USD, MORT, LQD
Annualized mean returns: VLUE:0.4512, MATIC-USD:-0.9383, MORT:0.7550, LQD:-0.0245
Covariance matrix (annualized):
[[0.028267, 0.041736, 0.029867, 0.001434], [0.041736, 0.768061, 0.059615, -0.003739], [0.029867, 0.059615, 0.052401, 0.000234], [0.001434, -0.003739, 0.000234, 0.004092]]
... | w_VLUE=0.0235, w_MATIC-USD=0.0000, w_MORT=0.9765, w_LQD=0.0000 | 3.123766 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VLUE=0.0235, w_MATIC-USD=0.0000, w_MORT=0.9765, w_LQD=0.0000
Portfolio annualized return: 74.79%, volatility: 22.66%
Sharpe ratio: (0.7479 - 0.0400) / 0.2266 = 3.1238 | {
"weights": {
"VLUE": 0.0235,
"MATIC-USD": 0,
"MORT": 0.9765,
"LQD": 0
},
"sharpe_ratio": 3.1238,
"portfolio_return": 0.7478800000000001,
"portfolio_vol": 0.22661099999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220902_0653 | T5 | 3 | train | sideways | all | [
"EFA",
"ADA-USD",
"SCHH",
"ICSH"
] | 2022-09-02T00:00:00 | 4-asset optimization. Max-Sharpe: 0.056. Portfolio: return=4.99%, vol=17.71%. Weights: w_EFA=0.0000, w_ADA-USD=0.0000, w_SCHH=1.0000, w_ICSH=0.0000. | Assets: EFA, ADA-USD, SCHH, ICSH
Annualized mean returns: EFA:-0.1739, ADA-USD:-0.7958, SCHH:0.0499, ICSH:0.0179
Covariance matrix (annualized):
[[0.035535, 0.072366, 0.022087, 2.3e-05], [0.072366, 0.452358, 0.034836, -0.000355], [0.022087, 0.034836, 0.031381, -4e-05], [2.3e-05, -0.000355, -4e-05, 1.7e-05]]
Risk-free r... | w_EFA=0.0000, w_ADA-USD=0.0000, w_SCHH=1.0000, w_ICSH=0.0000 | 0.056064 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=0.0000, w_ADA-USD=0.0000, w_SCHH=1.0000, w_ICSH=0.0000
Portfolio annualized return: 4.99%, volatility: 17.71%
Sharpe ratio: (0.0499 - 0.0400) / 0.1771 = 0.0561 | {
"weights": {
"EFA": 0,
"ADA-USD": 0,
"SCHH": 1,
"ICSH": 0
},
"sharpe_ratio": 0.056100000000000004,
"portfolio_return": 0.049930999999999996,
"portfolio_vol": 0.177146,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200417_0656 | T5 | 3 | train | sideways | all | [
"IWM",
"MATIC-USD",
"IYR",
"LQD"
] | 2020-04-17T00:00:00 | 4-asset optimization. Max-Sharpe: 2.616. Portfolio: return=369.50%, vol=139.73%. Weights: w_IWM=0.0000, w_MATIC-USD=1.0000, w_IYR=0.0000, w_LQD=0.0000. | Assets: IWM, MATIC-USD, IYR, LQD
Annualized mean returns: IWM:-1.0724, MATIC-USD:3.6950, IYR:-0.9343, LQD:0.0155
Covariance matrix (annualized):
[[0.198703, 0.375445, 0.164928, 0.022344], [0.375445, 1.952418, 0.2646, 0.055121], [0.164928, 0.2646, 0.169139, 0.022354], [0.022344, 0.055121, 0.022354, 0.022346]]
Risk-free ... | w_IWM=0.0000, w_MATIC-USD=1.0000, w_IYR=0.0000, w_LQD=0.0000 | 2.61576 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IWM=0.0000, w_MATIC-USD=1.0000, w_IYR=0.0000, w_LQD=0.0000
Portfolio annualized return: 369.50%, volatility: 139.73%
Sharpe ratio: (3.6950 - 0.0400) / 1.3973 = 2.6158 | {
"weights": {
"IWM": 0,
"MATIC-USD": 1,
"IYR": 0,
"LQD": 0
},
"sharpe_ratio": 2.6158,
"portfolio_return": 3.694974,
"portfolio_vol": 1.397289,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210817_0658 | T5 | 3 | train | sideways | all | [
"XLP",
"DOT-USD",
"STIP",
"BIL"
] | 2021-08-17T00:00:00 | 4-asset optimization. Max-Sharpe: 3.522. Portfolio: return=11.60%, vol=2.16%. Weights: w_XLP=0.1257, w_DOT-USD=0.0035, w_STIP=0.8708, w_BIL=0.0000. | Assets: XLP, DOT-USD, STIP, BIL
Annualized mean returns: XLP:0.2883, DOT-USD:0.2050, STIP:0.0907, BIL:-0.0013
Covariance matrix (annualized):
[[0.009387, -0.015714, 0.000455, -3.5e-05], [-0.015714, 1.107488, -0.001049, 3.6e-05], [0.000455, -0.001049, 0.000295, -3e-06], [-3.5e-05, 3.6e-05, -3e-06, 2e-06]]
Risk-free rate... | w_XLP=0.1257, w_DOT-USD=0.0035, w_STIP=0.8708, w_BIL=0.0000 | 3.521811 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.1257, w_DOT-USD=0.0035, w_STIP=0.8708, w_BIL=0.0000
Portfolio annualized return: 11.60%, volatility: 2.16%
Sharpe ratio: (0.1160 - 0.0400) / 0.0216 = 3.5218 | {
"weights": {
"XLP": 0.1257,
"DOT-USD": 0.0035,
"STIP": 0.8708,
"BIL": 0
},
"sharpe_ratio": 3.5218,
"portfolio_return": 0.11596899999999999,
"portfolio_vol": 0.021571,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220701_0660 | T5 | 3 | train | sideways | all | [
"XLY",
"BTC-USD",
"DBC",
"BIL"
] | 2022-07-01T00:00:00 | 4-asset optimization. Max-Sharpe: -0.381. Portfolio: return=-4.72%, vol=22.90%. Weights: w_XLY=0.0000, w_BTC-USD=0.0000, w_DBC=1.0000, w_BIL=0.0000. | Assets: XLY, BTC-USD, DBC, BIL
Annualized mean returns: XLY:-0.6826, BTC-USD:-3.9679, DBC:-0.0472, BIL:0.0066
Covariance matrix (annualized):
[[0.153522, 0.175207, 0.023093, 0.000157], [0.175207, 0.439555, 0.02967, 0.000225], [0.023093, 0.02967, 0.052458, 0.000124], [0.000157, 0.000225, 0.000124, 5e-06]]
Risk-free rate... | w_XLY=0.0000, w_BTC-USD=0.0000, w_DBC=1.0000, w_BIL=0.0000 | -0.380655 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.0000, w_BTC-USD=0.0000, w_DBC=1.0000, w_BIL=0.0000
Portfolio annualized return: -4.72%, volatility: 22.90%
Sharpe ratio: (-0.0472 - 0.0400) / 0.2290 = -0.3807 | {
"weights": {
"XLY": 0,
"BTC-USD": 0,
"DBC": 1,
"BIL": 0
},
"sharpe_ratio": -0.38070000000000004,
"portfolio_return": -0.047184,
"portfolio_vol": 0.229038,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220125_0663 | T5 | 3 | train | sideways | all | [
"QUAL",
"MATIC-USD",
"XHB",
"CPER"
] | 2022-01-25T00:00:00 | 4-asset optimization. Max-Sharpe: -0.106. Portfolio: return=-8.80%, vol=120.79%. Weights: w_QUAL=0.0000, w_MATIC-USD=1.0000, w_XHB=0.0000, w_CPER=0.0000. | Assets: QUAL, MATIC-USD, XHB, CPER
Annualized mean returns: QUAL:-0.5731, MATIC-USD:-0.0880, XHB:-0.6380, CPER:-0.0276
Covariance matrix (annualized):
[[0.036541, 0.132548, 0.04303, 0.020815], [0.132548, 1.459015, 0.164924, 0.083199], [0.04303, 0.164924, 0.077617, 0.022463], [0.020815, 0.083199, 0.022463, 0.04781]]
Ris... | w_QUAL=0.0000, w_MATIC-USD=1.0000, w_XHB=0.0000, w_CPER=0.0000 | -0.106009 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=0.0000, w_MATIC-USD=1.0000, w_XHB=0.0000, w_CPER=0.0000
Portfolio annualized return: -8.80%, volatility: 120.79%
Sharpe ratio: (-0.0880 - 0.0400) / 1.2079 = -0.1060 | {
"weights": {
"QUAL": 0,
"MATIC-USD": 1,
"XHB": 0,
"CPER": 0
},
"sharpe_ratio": -0.106,
"portfolio_return": -0.088048,
"portfolio_vol": 1.207897,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201002_0665 | T5 | 3 | train | sideways | all | [
"XLK",
"SOL-USD",
"GLD",
"VNQ"
] | 2020-10-02T00:00:00 | 4-asset optimization. Max-Sharpe: 1.998. Portfolio: return=77.18%, vol=36.62%. Weights: w_XLK=0.8793, w_SOL-USD=0.1207, w_GLD=0.0000, w_VNQ=0.0000. | Assets: XLK, SOL-USD, GLD, VNQ
Annualized mean returns: XLK:0.5124, SOL-USD:2.6606, GLD:0.0269, VNQ:0.0071
Covariance matrix (annualized):
[[0.073055, 0.185162, 0.016968, 0.031113], [0.185162, 2.630035, 0.089191, 0.025102], [0.016968, 0.089191, 0.034042, 0.012944], [0.031113, 0.025102, 0.012944, 0.047832]]
Risk-free ra... | w_XLK=0.8793, w_SOL-USD=0.1207, w_GLD=0.0000, w_VNQ=0.0000 | 1.998059 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLK=0.8793, w_SOL-USD=0.1207, w_GLD=0.0000, w_VNQ=0.0000
Portfolio annualized return: 77.18%, volatility: 36.62%
Sharpe ratio: (0.7718 - 0.0400) / 0.3662 = 1.9981 | {
"weights": {
"XLK": 0.8793000000000001,
"SOL-USD": 0.1207,
"GLD": 0,
"VNQ": 0
},
"sharpe_ratio": 1.9981,
"portfolio_return": 0.771778,
"portfolio_vol": 0.366245,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220412_0667 | T5 | 3 | train | sideways | all | [
"XLE",
"BNB-USD",
"TLH",
"INDS"
] | 2022-04-12T00:00:00 | 4-asset optimization. Max-Sharpe: 2.840. Portfolio: return=67.47%, vol=22.35%. Weights: w_XLE=0.6230, w_BNB-USD=0.1956, w_TLH=0.0000, w_INDS=0.1814. | Assets: XLE, BNB-USD, TLH, INDS
Annualized mean returns: XLE:0.7958, BNB-USD:0.7731, TLH:-0.4650, INDS:0.1530
Covariance matrix (annualized):
[[0.099132, -0.01153, 0.005345, -0.000103], [-0.01153, 0.318924, 0.004525, 0.013818], [0.005345, 0.004525, 0.023919, 0.001037], [-0.000103, 0.013818, 0.001037, 0.034478]]
Risk-fr... | w_XLE=0.6230, w_BNB-USD=0.1956, w_TLH=0.0000, w_INDS=0.1814 | 2.839839 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.6230, w_BNB-USD=0.1956, w_TLH=0.0000, w_INDS=0.1814
Portfolio annualized return: 67.47%, volatility: 22.35%
Sharpe ratio: (0.6747 - 0.0400) / 0.2235 = 2.8398 | {
"weights": {
"XLE": 0.623,
"BNB-USD": 0.1956,
"TLH": 0,
"INDS": 0.1814
},
"sharpe_ratio": 2.8398,
"portfolio_return": 0.674743,
"portfolio_vol": 0.223514,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211101_0669 | T5 | 3 | train | sideways | all | [
"EFA",
"BTC-USD",
"WEAT",
"ICSH"
] | 2021-11-01T00:00:00 | 4-asset optimization. Max-Sharpe: 2.101. Portfolio: return=55.01%, vol=24.27%. Weights: w_EFA=0.0000, w_BTC-USD=0.0990, w_WEAT=0.9010, w_ICSH=0.0000. | Assets: EFA, BTC-USD, WEAT, ICSH
Annualized mean returns: EFA:-0.0668, BTC-USD:1.0929, WEAT:0.4904, ICSH:-0.0029
Covariance matrix (annualized):
[[0.01494, 0.023675, 0.006367, -6.9e-05], [0.023675, 0.506169, 0.07934, 0.000305], [0.006367, 0.07934, 0.04902, 0.000114], [-6.9e-05, 0.000305, 0.000114, 6e-06]]
Risk-free rat... | w_EFA=0.0000, w_BTC-USD=0.0990, w_WEAT=0.9010, w_ICSH=0.0000 | 2.101468 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=0.0000, w_BTC-USD=0.0990, w_WEAT=0.9010, w_ICSH=0.0000
Portfolio annualized return: 55.01%, volatility: 24.27%
Sharpe ratio: (0.5501 - 0.0400) / 0.2427 = 2.1015 | {
"weights": {
"EFA": 0,
"BTC-USD": 0.099,
"WEAT": 0.901,
"ICSH": 0
},
"sharpe_ratio": 2.1015,
"portfolio_return": 0.550082,
"portfolio_vol": 0.242726,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 9046
} |
T5_all_20220411_0672 | T5 | 3 | train | sideways | all | [
"QQQ",
"BTC-USD",
"ITB",
"IEF"
] | 2022-04-11T00:00:00 | 4-asset optimization. Max-Sharpe: 0.691. Portfolio: return=45.67%, vol=60.27%. Weights: w_QQQ=0.0000, w_BTC-USD=1.0000, w_ITB=0.0000, w_IEF=0.0000. | Assets: QQQ, BTC-USD, ITB, IEF
Annualized mean returns: QQQ:-0.3175, BTC-USD:0.4567, ITB:-1.1780, IEF:-0.3050
Covariance matrix (annualized):
[[0.10008, 0.105074, 0.095198, -0.002539], [0.105074, 0.363216, 0.08123, -0.002792], [0.095198, 0.08123, 0.142077, 0.002675], [-0.002539, -0.002792, 0.002675, 0.00954]]
Risk-free... | w_QQQ=0.0000, w_BTC-USD=1.0000, w_ITB=0.0000, w_IEF=0.0000 | 0.691339 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QQQ=0.0000, w_BTC-USD=1.0000, w_ITB=0.0000, w_IEF=0.0000
Portfolio annualized return: 45.67%, volatility: 60.27%
Sharpe ratio: (0.4567 - 0.0400) / 0.6027 = 0.6913 | {
"weights": {
"QQQ": 0,
"BTC-USD": 1,
"ITB": 0,
"IEF": 0
},
"sharpe_ratio": 0.6913,
"portfolio_return": 0.456652,
"portfolio_vol": 0.6026739999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190220_0676 | T5 | 3 | train | sideways | all | [
"USMV",
"ADA-USD",
"REZ",
"IEF"
] | 2019-02-20T00:00:00 | 4-asset optimization. Max-Sharpe: 6.853. Portfolio: return=30.94%, vol=3.93%. Weights: w_USMV=0.3198, w_ADA-USD=0.0135, w_REZ=0.0343, w_IEF=0.6324. | Assets: USMV, ADA-USD, REZ, IEF
Annualized mean returns: USMV:0.6770, ADA-USD:0.1100, REZ:0.7359, IEF:0.1046
Covariance matrix (annualized):
[[0.019097, -0.024038, 0.012731, -0.004054], [-0.024038, 0.707789, -0.050341, 0.000375], [0.012731, -0.050341, 0.032075, -0.000788], [-0.004054, 0.000375, -0.000788, 0.002671]]
Ri... | w_USMV=0.3198, w_ADA-USD=0.0135, w_REZ=0.0343, w_IEF=0.6324 | 6.852984 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=0.3198, w_ADA-USD=0.0135, w_REZ=0.0343, w_IEF=0.6324
Portfolio annualized return: 30.94%, volatility: 3.93%
Sharpe ratio: (0.3094 - 0.0400) / 0.0393 = 6.8530 | {
"weights": {
"USMV": 0.31980000000000003,
"ADA-USD": 0.0135,
"REZ": 0.034300000000000004,
"IEF": 0.6324000000000001
},
"sharpe_ratio": 6.853,
"portfolio_return": 0.309368,
"portfolio_vol": 0.039307,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201113_0680 | T5 | 3 | train | sideways | all | [
"XLV",
"LINK-USD",
"PALL",
"XHB"
] | 2020-11-13T00:00:00 | 4-asset optimization. Max-Sharpe: 1.379. Portfolio: return=30.60%, vol=19.29%. Weights: w_XLV=0.5919, w_LINK-USD=0.0000, w_PALL=0.0000, w_XHB=0.4081. | Assets: XLV, LINK-USD, PALL, XHB
Annualized mean returns: XLV:0.2562, LINK-USD:-0.6070, PALL:0.1377, XHB:0.3781
Covariance matrix (annualized):
[[0.032497, 0.052826, 0.023414, 0.027006], [0.052826, 0.977643, 0.063301, 0.043783], [0.023414, 0.063301, 0.125688, 0.020404], [0.027006, 0.043783, 0.020404, 0.076768]]
Risk-fr... | w_XLV=0.5919, w_LINK-USD=0.0000, w_PALL=0.0000, w_XHB=0.4081 | 1.378657 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.5919, w_LINK-USD=0.0000, w_PALL=0.0000, w_XHB=0.4081
Portfolio annualized return: 30.60%, volatility: 19.29%
Sharpe ratio: (0.3060 - 0.0400) / 0.1929 = 1.3787 | {
"weights": {
"XLV": 0.5919,
"LINK-USD": 0,
"PALL": 0,
"XHB": 0.4081
},
"sharpe_ratio": 1.3787,
"portfolio_return": 0.305962,
"portfolio_vol": 0.192914,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200529_0685 | T5 | 3 | train | sideways | all | [
"XLP",
"LINK-USD",
"MORT",
"BIL"
] | 2020-05-29T00:00:00 | 4-asset optimization. Max-Sharpe: 6.055. Portfolio: return=441.47%, vol=72.25%. Weights: w_XLP=0.0000, w_LINK-USD=1.0000, w_MORT=0.0000, w_BIL=0.0000. | Assets: XLP, LINK-USD, MORT, BIL
Annualized mean returns: XLP:0.2537, LINK-USD:4.4147, MORT:-0.3277, BIL:-0.0016
Covariance matrix (annualized):
[[0.04304, 0.047231, 0.037274, 1.6e-05], [0.047231, 0.522015, 0.119467, -0.00025], [0.037274, 0.119467, 0.269379, 4.7e-05], [1.6e-05, -0.00025, 4.7e-05, 4e-06]]
Risk-free rate... | w_XLP=0.0000, w_LINK-USD=1.0000, w_MORT=0.0000, w_BIL=0.0000 | 6.054952 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.0000, w_LINK-USD=1.0000, w_MORT=0.0000, w_BIL=0.0000
Portfolio annualized return: 441.47%, volatility: 72.25%
Sharpe ratio: (4.4147 - 0.0400) / 0.7225 = 6.0550 | {
"weights": {
"XLP": 0,
"LINK-USD": 1,
"MORT": 0,
"BIL": 0
},
"sharpe_ratio": 6.055,
"portfolio_return": 4.414738,
"portfolio_vol": 0.722506,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200630_0687 | T5 | 3 | train | sideways | all | [
"XLK",
"XRP-USD",
"GLD",
"HYG"
] | 2020-06-30T00:00:00 | 4-asset optimization. Max-Sharpe: 3.915. Portfolio: return=56.12%, vol=13.31%. Weights: w_XLK=0.4874, w_XRP-USD=0.0000, w_GLD=0.5126, w_HYG=0.0000. | Assets: XLK, XRP-USD, GLD, HYG
Annualized mean returns: XLK:0.8301, XRP-USD:-0.2342, GLD:0.3054, HYG:0.1681
Covariance matrix (annualized):
[[0.056884, 0.016748, -0.001686, 0.017793], [0.016748, 0.095232, 0.014846, 0.006018], [-0.001686, 0.014846, 0.019208, -0.003648], [0.017793, 0.006018, -0.003648, 0.011552]]
Risk-fr... | w_XLK=0.4874, w_XRP-USD=0.0000, w_GLD=0.5126, w_HYG=0.0000 | 3.915208 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLK=0.4874, w_XRP-USD=0.0000, w_GLD=0.5126, w_HYG=0.0000
Portfolio annualized return: 56.12%, volatility: 13.31%
Sharpe ratio: (0.5612 - 0.0400) / 0.1331 = 3.9152 | {
"weights": {
"XLK": 0.4874,
"XRP-USD": 0,
"GLD": 0.5126000000000001,
"HYG": 0
},
"sharpe_ratio": 3.9152,
"portfolio_return": 0.561167,
"portfolio_vol": 0.13311299999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210104_0690 | T5 | 3 | train | sideways | all | [
"XLK",
"MATIC-USD",
"VNQI",
"SOYB"
] | 2021-01-04T00:00:00 | 4-asset optimization. Max-Sharpe: 8.834. Portfolio: return=89.67%, vol=9.70%. Weights: w_XLK=0.3695, w_MATIC-USD=0.0059, w_VNQI=0.0197, w_SOYB=0.6048. | Assets: XLK, MATIC-USD, VNQI, SOYB
Annualized mean returns: XLK:0.6693, MATIC-USD:2.6114, VNQI:0.7148, SOYB:1.0248
Covariance matrix (annualized):
[[0.025585, 0.010079, 0.008168, -0.004576], [0.010079, 1.027993, 0.003661, 0.030298], [0.008168, 0.003661, 0.025091, 0.006404], [-0.004576, 0.030298, 0.006404, 0.020165]]
Ri... | w_XLK=0.3695, w_MATIC-USD=0.0059, w_VNQI=0.0197, w_SOYB=0.6048 | 8.834094 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLK=0.3695, w_MATIC-USD=0.0059, w_VNQI=0.0197, w_SOYB=0.6048
Portfolio annualized return: 89.67%, volatility: 9.70%
Sharpe ratio: (0.8967 - 0.0400) / 0.0970 = 8.8341 | {
"weights": {
"XLK": 0.3695,
"MATIC-USD": 0.0059,
"VNQI": 0.019700000000000002,
"SOYB": 0.6048
},
"sharpe_ratio": 8.8341,
"portfolio_return": 0.896745,
"portfolio_vol": 0.096982,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200212_0694 | T5 | 3 | train | sideways | all | [
"ACWI",
"MATIC-USD",
"CORN",
"VCIT"
] | 2020-02-12T00:00:00 | 4-asset optimization. Max-Sharpe: 8.746. Portfolio: return=18.88%, vol=1.70%. Weights: w_ACWI=0.1532, w_MATIC-USD=0.0082, w_CORN=0.0000, w_VCIT=0.8387. | Assets: ACWI, MATIC-USD, CORN, VCIT
Annualized mean returns: ACWI:0.2642, MATIC-USD:3.7547, CORN:-0.0985, VCIT:0.1403
Covariance matrix (annualized):
[[0.012219, 0.00479, 0.003767, -0.001758], [0.00479, 1.07587, -0.006485, -0.002729], [0.003767, -0.006485, 0.017844, -0.00068], [-0.001758, -0.002729, -0.00068, 0.00058]]... | w_ACWI=0.1532, w_MATIC-USD=0.0082, w_CORN=0.0000, w_VCIT=0.8387 | 8.746434 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_ACWI=0.1532, w_MATIC-USD=0.0082, w_CORN=0.0000, w_VCIT=0.8387
Portfolio annualized return: 18.88%, volatility: 1.70%
Sharpe ratio: (0.1888 - 0.0400) / 0.0170 = 8.7464 | {
"weights": {
"ACWI": 0.1532,
"MATIC-USD": 0.0082,
"CORN": 0,
"VCIT": 0.8387
},
"sharpe_ratio": 8.7464,
"portfolio_return": 0.18881199999999998,
"portfolio_vol": 0.017013999999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200731_0702 | T5 | 3 | train | sideways | all | [
"MTUM",
"MATIC-USD",
"BIL",
"BNO"
] | 2020-07-31T00:00:00 | 4-asset optimization. Max-Sharpe: 3.215. Portfolio: return=73.36%, vol=21.57%. Weights: w_MTUM=0.7761, w_MATIC-USD=0.0000, w_BIL=0.0000, w_BNO=0.2239. | Assets: MTUM, MATIC-USD, BIL, BNO
Annualized mean returns: MTUM:0.6724, MATIC-USD:-0.0311, BIL:0.0000, BNO:0.9455
Covariance matrix (annualized):
[[0.042593, 0.023086, 6.7e-05, 0.041877], [0.023086, 0.293227, 0.000366, 0.02673], [6.7e-05, 0.000366, 2e-06, 6.3e-05], [0.041877, 0.02673, 6.3e-05, 0.126195]]
Risk-free rate... | w_MTUM=0.7761, w_MATIC-USD=0.0000, w_BIL=0.0000, w_BNO=0.2239 | 3.215123 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.7761, w_MATIC-USD=0.0000, w_BIL=0.0000, w_BNO=0.2239
Portfolio annualized return: 73.36%, volatility: 21.57%
Sharpe ratio: (0.7336 - 0.0400) / 0.2157 = 3.2151 | {
"weights": {
"MTUM": 0.7761,
"MATIC-USD": 0,
"BIL": 0,
"BNO": 0.22390000000000002
},
"sharpe_ratio": 3.2151,
"portfolio_return": 0.733559,
"portfolio_vol": 0.215718,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200310_0704 | T5 | 3 | train | sideways | all | [
"FXI",
"MATIC-USD",
"IAU",
"VCIT"
] | 2020-03-10T00:00:00 | 4-asset optimization. Max-Sharpe: 5.776. Portfolio: return=54.29%, vol=8.71%. Weights: w_FXI=0.0000, w_MATIC-USD=0.0615, w_IAU=0.2811, w_VCIT=0.6574. | Assets: FXI, MATIC-USD, IAU, VCIT
Annualized mean returns: FXI:-0.8455, MATIC-USD:4.5616, IAU:0.5386, VCIT:0.1690
Covariance matrix (annualized):
[[0.069821, 0.072418, -0.010128, -0.000526], [0.072418, 0.959807, 0.023478, 0.003886], [-0.010128, 0.023478, 0.01978, 0.000779], [-0.000526, 0.003886, 0.000779, 0.002261]]
Ri... | w_FXI=0.0000, w_MATIC-USD=0.0615, w_IAU=0.2811, w_VCIT=0.6574 | 5.776253 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_MATIC-USD=0.0615, w_IAU=0.2811, w_VCIT=0.6574
Portfolio annualized return: 54.29%, volatility: 8.71%
Sharpe ratio: (0.5429 - 0.0400) / 0.0871 = 5.7763 | {
"weights": {
"FXI": 0,
"MATIC-USD": 0.061500000000000006,
"IAU": 0.2811,
"VCIT": 0.6574
},
"sharpe_ratio": 5.7763,
"portfolio_return": 0.54295,
"portfolio_vol": 0.087072,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180918_0708 | T5 | 3 | train | sideways | all | [
"USMV",
"XRP-USD",
"MORT",
"IAU"
] | 2018-09-18T00:00:00 | 4-asset optimization. Max-Sharpe: 4.435. Portfolio: return=28.58%, vol=5.54%. Weights: w_USMV=1.0000, w_XRP-USD=0.0000, w_MORT=0.0000, w_IAU=0.0000. | Assets: USMV, XRP-USD, MORT, IAU
Annualized mean returns: USMV:0.2858, XRP-USD:-1.8030, MORT:0.0564, IAU:-0.1171
Covariance matrix (annualized):
[[0.003072, 0.015904, 0.000632, 0.002102], [0.015904, 0.99218, 0.00711, 0.008771], [0.000632, 0.00711, 0.005642, 0.000128], [0.002102, 0.008771, 0.000128, 0.009378]]
Risk-free... | w_USMV=1.0000, w_XRP-USD=0.0000, w_MORT=0.0000, w_IAU=0.0000 | 4.434631 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=1.0000, w_XRP-USD=0.0000, w_MORT=0.0000, w_IAU=0.0000
Portfolio annualized return: 28.58%, volatility: 5.54%
Sharpe ratio: (0.2858 - 0.0400) / 0.0554 = 4.4346 | {
"weights": {
"USMV": 1,
"XRP-USD": 0,
"MORT": 0,
"IAU": 0
},
"sharpe_ratio": 4.4346,
"portfolio_return": 0.285774,
"portfolio_vol": 0.055422,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210210_0711 | T5 | 3 | train | sideways | all | [
"IVV",
"DOT-USD",
"BIL",
"BNDX"
] | 2021-02-10T00:00:00 | 4-asset optimization. Max-Sharpe: 5.703. Portfolio: return=243.92%, vol=42.07%. Weights: w_IVV=0.7832, w_DOT-USD=0.2168, w_BIL=0.0000, w_BNDX=0.0000. | Assets: IVV, DOT-USD, BIL, BNDX
Annualized mean returns: IVV:0.4387, DOT-USD:9.6654, BIL:0.0000, BNDX:-0.0606
Covariance matrix (annualized):
[[0.019456, 0.065336, 8e-06, 0.00055], [0.065336, 3.038468, 0.000444, 0.011433], [8e-06, 0.000444, 1e-06, 3e-06], [0.00055, 0.011433, 3e-06, 0.000423]]
Risk-free rate: 4.00%
Cons... | w_IVV=0.7832, w_DOT-USD=0.2168, w_BIL=0.0000, w_BNDX=0.0000 | 5.703251 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.7832, w_DOT-USD=0.2168, w_BIL=0.0000, w_BNDX=0.0000
Portfolio annualized return: 243.92%, volatility: 42.07%
Sharpe ratio: (2.4392 - 0.0400) / 0.4207 = 5.7033 | {
"weights": {
"IVV": 0.7832,
"DOT-USD": 0.21680000000000002,
"BIL": 0,
"BNDX": 0
},
"sharpe_ratio": 5.7033000000000005,
"portfolio_return": 2.439181,
"portfolio_vol": 0.42066899999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181115_0713 | T5 | 3 | train | sideways | all | [
"XLRE",
"XRP-USD",
"REZ",
"LQD"
] | 2018-11-15T00:00:00 | 4-asset optimization. Max-Sharpe: 2.617. Portfolio: return=363.76%, vol=137.46%. Weights: w_XLRE=0.0000, w_XRP-USD=1.0000, w_REZ=0.0000, w_LQD=0.0000. | Assets: XLRE, XRP-USD, REZ, LQD
Annualized mean returns: XLRE:0.0037, XRP-USD:3.6376, REZ:0.1044, LQD:-0.1366
Covariance matrix (annualized):
[[0.032289, 0.073385, 0.032437, 0.00105], [0.073385, 1.889566, 0.073498, 0.00445], [0.032437, 0.073498, 0.036122, 0.001808], [0.00105, 0.00445, 0.001808, 0.001519]]
Risk-free rat... | w_XLRE=0.0000, w_XRP-USD=1.0000, w_REZ=0.0000, w_LQD=0.0000 | 2.617136 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.0000, w_XRP-USD=1.0000, w_REZ=0.0000, w_LQD=0.0000
Portfolio annualized return: 363.76%, volatility: 137.46%
Sharpe ratio: (3.6376 - 0.0400) / 1.3746 = 2.6171 | {
"weights": {
"XLRE": 0,
"XRP-USD": 1,
"REZ": 0,
"LQD": 0
},
"sharpe_ratio": 2.6170999999999998,
"portfolio_return": 3.6375539999999997,
"portfolio_vol": 1.374615,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20160526_0719 | T5 | 3 | train | sideways | all | [
"VLUE",
"BTC-USD",
"HYG",
"SLV"
] | 2016-05-26T00:00:00 | 4-asset optimization. Max-Sharpe: 3.614. Portfolio: return=24.10%, vol=5.56%. Weights: w_VLUE=0.0000, w_BTC-USD=0.1003, w_HYG=0.8362, w_SLV=0.0635. | Assets: VLUE, BTC-USD, HYG, SLV
Annualized mean returns: VLUE:0.1580, BTC-USD:0.2099, HYG:0.2291, SLV:0.4471
Covariance matrix (annualized):
[[0.016389, -0.005667, 0.00639, -0.001277], [-0.005667, 0.043678, -0.002975, 0.011373], [0.00639, -0.002975, 0.003698, 0.001828], [-0.001277, 0.011373, 0.001828, 0.056595]]
Risk-f... | w_VLUE=0.0000, w_BTC-USD=0.1003, w_HYG=0.8362, w_SLV=0.0635 | 3.614299 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VLUE=0.0000, w_BTC-USD=0.1003, w_HYG=0.8362, w_SLV=0.0635
Portfolio annualized return: 24.10%, volatility: 5.56%
Sharpe ratio: (0.2410 - 0.0400) / 0.0556 = 3.6143 | {
"weights": {
"VLUE": 0,
"BTC-USD": 0.1003,
"HYG": 0.8362,
"SLV": 0.0635
},
"sharpe_ratio": 3.6143,
"portfolio_return": 0.241035,
"portfolio_vol": 0.055622,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220729_0721 | T5 | 3 | train | sideways | all | [
"USMV",
"BNB-USD",
"SGOV",
"XHB"
] | 2022-07-29T00:00:00 | 4-asset optimization. Max-Sharpe: 0.898. Portfolio: return=30.82%, vol=29.88%. Weights: w_USMV=0.0000, w_BNB-USD=0.0000, w_SGOV=0.0000, w_XHB=1.0000. | Assets: USMV, BNB-USD, SGOV, XHB
Annualized mean returns: USMV:-0.0302, BNB-USD:-0.3552, SGOV:0.0092, XHB:0.3082
Covariance matrix (annualized):
[[0.034052, 0.069748, -7e-06, 0.044995], [0.069748, 0.462509, 0.000176, 0.120569], [-7e-06, 0.000176, 3e-06, -1.9e-05], [0.044995, 0.120569, -1.9e-05, 0.089293]]
Risk-free rat... | w_USMV=0.0000, w_BNB-USD=0.0000, w_SGOV=0.0000, w_XHB=1.0000 | 0.89751 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=0.0000, w_BNB-USD=0.0000, w_SGOV=0.0000, w_XHB=1.0000
Portfolio annualized return: 30.82%, volatility: 29.88%
Sharpe ratio: (0.3082 - 0.0400) / 0.2988 = 0.8975 | {
"weights": {
"USMV": 0,
"BNB-USD": 0,
"SGOV": 0,
"XHB": 1
},
"sharpe_ratio": 0.8975000000000001,
"portfolio_return": 0.30819399999999997,
"portfolio_vol": 0.29882000000000003,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 9046
} |
T5_all_20170124_0723 | T5 | 3 | train | sideways | all | [
"IVV",
"BTC-USD",
"SCHH",
"CPER"
] | 2017-01-24T00:00:00 | 4-asset optimization. Max-Sharpe: 3.390. Portfolio: return=32.41%, vol=8.38%. Weights: w_IVV=0.6119, w_BTC-USD=0.0552, w_SCHH=0.3120, w_CPER=0.0208. | Assets: IVV, BTC-USD, SCHH, CPER
Annualized mean returns: IVV:0.1970, BTC-USD:1.2266, SCHH:0.4305, CPER:0.0725
Covariance matrix (annualized):
[[0.004568, -0.00585, 0.004436, 0.001232], [-0.00585, 0.525455, 0.0114, 0.015968], [0.004436, 0.0114, 0.020621, -0.005945], [0.001232, 0.015968, -0.005945, 0.049027]]
Risk-free ... | w_IVV=0.6119, w_BTC-USD=0.0552, w_SCHH=0.3120, w_CPER=0.0208 | 3.390132 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.6119, w_BTC-USD=0.0552, w_SCHH=0.3120, w_CPER=0.0208
Portfolio annualized return: 32.41%, volatility: 8.38%
Sharpe ratio: (0.3241 - 0.0400) / 0.0838 = 3.3901 | {
"weights": {
"IVV": 0.6119,
"BTC-USD": 0.055200000000000006,
"SCHH": 0.312,
"CPER": 0.020800000000000003
},
"sharpe_ratio": 3.3901,
"portfolio_return": 0.324146,
"portfolio_vol": 0.083816,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190715_0727 | T5 | 3 | train | sideways | all | [
"EWJ",
"MATIC-USD",
"REZ",
"DBA"
] | 2019-07-15T00:00:00 | 4-asset optimization. Max-Sharpe: 4.726. Portfolio: return=41.35%, vol=7.90%. Weights: w_EWJ=0.1650, w_MATIC-USD=0.0162, w_REZ=0.3393, w_DBA=0.4795. | Assets: EWJ, MATIC-USD, REZ, DBA
Annualized mean returns: EWJ:0.2216, MATIC-USD:3.1548, REZ:0.3779, DBA:0.4120
Covariance matrix (annualized):
[[0.012282, -0.020127, 0.002504, 0.001013], [-0.020127, 3.500313, -0.011594, 0.005435], [0.002504, -0.011594, 0.021359, -0.003801], [0.001013, 0.005435, -0.003801, 0.015129]]
Ri... | w_EWJ=0.1650, w_MATIC-USD=0.0162, w_REZ=0.3393, w_DBA=0.4795 | 4.726329 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.1650, w_MATIC-USD=0.0162, w_REZ=0.3393, w_DBA=0.4795
Portfolio annualized return: 41.35%, volatility: 7.90%
Sharpe ratio: (0.4135 - 0.0400) / 0.0790 = 4.7263 | {
"weights": {
"EWJ": 0.165,
"MATIC-USD": 0.0162,
"REZ": 0.3393,
"DBA": 0.47950000000000004
},
"sharpe_ratio": 4.7263,
"portfolio_return": 0.413469,
"portfolio_vol": 0.07901899999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20150610_0729 | T5 | 3 | train | sideways | all | [
"FXI",
"BTC-USD",
"BIL",
"SCHH"
] | 2015-06-10T00:00:00 | 4-asset optimization. Max-Sharpe: 1.120. Portfolio: return=41.57%, vol=33.54%. Weights: w_FXI=0.0000, w_BTC-USD=1.0000, w_BIL=0.0000, w_SCHH=0.0000. | Assets: FXI, BTC-USD, BIL, SCHH
Annualized mean returns: FXI:-0.2545, BTC-USD:0.4157, BIL:-0.0027, SCHH:-0.4334
Covariance matrix (annualized):
[[0.067297, 0.028613, 0.000139, 0.019488], [0.028613, 0.112506, 0.000195, 0.001867], [0.000139, 0.000195, 6e-06, 5e-06], [0.019488, 0.001867, 5e-06, 0.02264]]
Risk-free rate: 4... | w_FXI=0.0000, w_BTC-USD=1.0000, w_BIL=0.0000, w_SCHH=0.0000 | 1.120172 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_BTC-USD=1.0000, w_BIL=0.0000, w_SCHH=0.0000
Portfolio annualized return: 41.57%, volatility: 33.54%
Sharpe ratio: (0.4157 - 0.0400) / 0.3354 = 1.1202 | {
"weights": {
"FXI": 0,
"BTC-USD": 1,
"BIL": 0,
"SCHH": 0
},
"sharpe_ratio": 1.1202,
"portfolio_return": 0.415726,
"portfolio_vol": 0.33541899999999997,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220314_0731 | T5 | 3 | train | sideways | all | [
"XLY",
"ETH-USD",
"BNDX",
"USO"
] | 2022-03-14T00:00:00 | 4-asset optimization. Max-Sharpe: 5.120. Portfolio: return=193.71%, vol=37.05%. Weights: w_XLY=0.0000, w_ETH-USD=0.0000, w_BNDX=0.0000, w_USO=1.0000. | Assets: XLY, ETH-USD, BNDX, USO
Annualized mean returns: XLY:-1.1463, ETH-USD:-0.3818, BNDX:-0.1929, USO:1.9371
Covariance matrix (annualized):
[[0.104743, 0.163009, -0.003046, -0.039157], [0.163009, 0.6567, -0.007545, -0.025161], [-0.003046, -0.007545, 0.003488, 0.003933], [-0.039157, -0.025161, 0.003933, 0.137293]]
R... | w_XLY=0.0000, w_ETH-USD=0.0000, w_BNDX=0.0000, w_USO=1.0000 | 5.119988 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.0000, w_ETH-USD=0.0000, w_BNDX=0.0000, w_USO=1.0000
Portfolio annualized return: 193.71%, volatility: 37.05%
Sharpe ratio: (1.9371 - 0.0400) / 0.3705 = 5.1200 | {
"weights": {
"XLY": 0,
"ETH-USD": 0,
"BNDX": 0,
"USO": 1
},
"sharpe_ratio": 5.12,
"portfolio_return": 1.937114,
"portfolio_vol": 0.370531,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180112_0733 | T5 | 3 | train | sideways | all | [
"VEA",
"XRP-USD",
"MORT",
"ICSH"
] | 2018-01-12T00:00:00 | 4-asset optimization. Max-Sharpe: 6.941. Portfolio: return=68.46%, vol=9.29%. Weights: w_VEA=0.7040, w_XRP-USD=0.0321, w_MORT=0.2639, w_ICSH=0.0000. | Assets: VEA, XRP-USD, MORT, ICSH
Annualized mean returns: VEA:0.3751, XRP-USD:11.5354, MORT:0.1917, ICSH:0.0166
Covariance matrix (annualized):
[[0.005176, 0.027259, -0.000128, 2.4e-05], [0.027259, 4.45663, -0.031415, 0.00072], [-0.000128, -0.031415, 0.011848, -9.3e-05], [2.4e-05, 0.00072, -9.3e-05, 1.5e-05]]
Risk-free... | w_VEA=0.7040, w_XRP-USD=0.0321, w_MORT=0.2639, w_ICSH=0.0000 | 6.940973 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.7040, w_XRP-USD=0.0321, w_MORT=0.2639, w_ICSH=0.0000
Portfolio annualized return: 68.46%, volatility: 9.29%
Sharpe ratio: (0.6846 - 0.0400) / 0.0929 = 6.9410 | {
"weights": {
"VEA": 0.704,
"XRP-USD": 0.032100000000000004,
"MORT": 0.2639,
"ICSH": 0
},
"sharpe_ratio": 6.941,
"portfolio_return": 0.684591,
"portfolio_vol": 0.09286799999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181015_0741 | T5 | 3 | train | sideways | all | [
"XLB",
"ETH-USD",
"ICSH",
"VNQ"
] | 2018-10-15T00:00:00 | 4-asset optimization. Max-Sharpe: -1.118. Portfolio: return=-103.87%, vol=96.48%. Weights: w_XLB=0.0000, w_ETH-USD=1.0000, w_ICSH=0.0000, w_VNQ=0.0000. | Assets: XLB, ETH-USD, ICSH, VNQ
Annualized mean returns: XLB:-0.4002, ETH-USD:-1.0387, ICSH:0.0251, VNQ:-0.4320
Covariance matrix (annualized):
[[0.023841, 0.025403, 2.5e-05, 0.007619], [0.025403, 0.930784, -0.001197, 0.051617], [2.5e-05, -0.001197, 1.4e-05, -4.4e-05], [0.007619, 0.051617, -4.4e-05, 0.020424]]
Risk-fre... | w_XLB=0.0000, w_ETH-USD=1.0000, w_ICSH=0.0000, w_VNQ=0.0000 | -1.118071 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.0000, w_ETH-USD=1.0000, w_ICSH=0.0000, w_VNQ=0.0000
Portfolio annualized return: -103.87%, volatility: 96.48%
Sharpe ratio: (-1.0387 - 0.0400) / 0.9648 = -1.1181 | {
"weights": {
"XLB": 0,
"ETH-USD": 1,
"ICSH": 0,
"VNQ": 0
},
"sharpe_ratio": -1.1181,
"portfolio_return": -1.038683,
"portfolio_vol": 0.9647709999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201001_0743 | T5 | 3 | train | sideways | all | [
"XLP",
"ADA-USD",
"VNQI",
"SGOV"
] | 2020-10-01T00:00:00 | 4-asset optimization. Max-Sharpe: 0.956. Portfolio: return=16.60%, vol=13.18%. Weights: w_XLP=0.6713, w_ADA-USD=0.0000, w_VNQI=0.3287, w_SGOV=0.0000. | Assets: XLP, ADA-USD, VNQI, SGOV
Annualized mean returns: XLP:0.1681, ADA-USD:-1.3184, VNQI:0.1617, SGOV:0.0008
Covariance matrix (annualized):
[[0.019193, 0.038277, 0.014508, 1.4e-05], [0.038277, 0.793076, 0.041717, -0.000261], [0.014508, 0.041717, 0.021405, -2.1e-05], [1.4e-05, -0.000261, -2.1e-05, 1e-06]]
Risk-free ... | w_XLP=0.6713, w_ADA-USD=0.0000, w_VNQI=0.3287, w_SGOV=0.0000 | 0.956362 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.6713, w_ADA-USD=0.0000, w_VNQI=0.3287, w_SGOV=0.0000
Portfolio annualized return: 16.60%, volatility: 13.18%
Sharpe ratio: (0.1660 - 0.0400) / 0.1318 = 0.9564 | {
"weights": {
"XLP": 0.6713,
"ADA-USD": 0,
"VNQI": 0.3287,
"SGOV": 0
},
"sharpe_ratio": 0.9564,
"portfolio_return": 0.166023,
"portfolio_vol": 0.131774,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201130_0747 | T5 | 3 | train | sideways | all | [
"XLRE",
"ETH-USD",
"IYR",
"DBB"
] | 2020-11-30T00:00:00 | 4-asset optimization. Max-Sharpe: 6.039. Portfolio: return=90.17%, vol=14.27%. Weights: w_XLRE=0.0000, w_ETH-USD=0.1272, w_IYR=0.1741, w_DBB=0.6987. | Assets: XLRE, ETH-USD, IYR, DBB
Annualized mean returns: XLRE:0.2643, ETH-USD:2.1711, IYR:0.3972, DBB:0.7962
Covariance matrix (annualized):
[[0.034058, -0.005477, 0.036282, 0.00385], [-0.005477, 0.322598, -0.003032, 0.014078], [0.036282, -0.003032, 0.039638, 0.002756], [0.00385, 0.014078, 0.002756, 0.022323]]
Risk-fre... | w_XLRE=0.0000, w_ETH-USD=0.1272, w_IYR=0.1741, w_DBB=0.6987 | 6.039016 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.0000, w_ETH-USD=0.1272, w_IYR=0.1741, w_DBB=0.6987
Portfolio annualized return: 90.17%, volatility: 14.27%
Sharpe ratio: (0.9017 - 0.0400) / 0.1427 = 6.0390 | {
"weights": {
"XLRE": 0,
"ETH-USD": 0.1272,
"IYR": 0.1741,
"DBB": 0.6987
},
"sharpe_ratio": 6.039,
"portfolio_return": 0.901673,
"portfolio_vol": 0.142684,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210924_0748 | T5 | 3 | train | sideways | all | [
"XLV",
"ADA-USD",
"VNQI",
"ICSH"
] | 2021-09-24T00:00:00 | 4-asset optimization. Max-Sharpe: 3.379. Portfolio: return=364.65%, vol=106.73%. Weights: w_XLV=0.0000, w_ADA-USD=1.0000, w_VNQI=0.0000, w_ICSH=0.0000. | Assets: XLV, ADA-USD, VNQI, ICSH
Annualized mean returns: XLV:0.0668, ADA-USD:3.6465, VNQI:-0.0362, ICSH:0.0038
Covariance matrix (annualized):
[[0.010654, 0.012571, 0.000918, -2e-06], [0.012571, 1.139043, 0.051623, 0.000235], [0.000918, 0.051623, 0.015986, 1.3e-05], [-2e-06, 0.000235, 1.3e-05, 6e-06]]
Risk-free rate: ... | w_XLV=0.0000, w_ADA-USD=1.0000, w_VNQI=0.0000, w_ICSH=0.0000 | 3.379174 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.0000, w_ADA-USD=1.0000, w_VNQI=0.0000, w_ICSH=0.0000
Portfolio annualized return: 364.65%, volatility: 106.73%
Sharpe ratio: (3.6465 - 0.0400) / 1.0673 = 3.3792 | {
"weights": {
"XLV": 0,
"ADA-USD": 1,
"VNQI": 0,
"ICSH": 0
},
"sharpe_ratio": 3.3792,
"portfolio_return": 3.6464559999999997,
"portfolio_vol": 1.06726,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200203_0754 | T5 | 3 | train | sideways | all | [
"MTUM",
"ETH-USD",
"HYG",
"PPLT"
] | 2020-02-03T00:00:00 | 4-asset optimization. Max-Sharpe: 4.452. Portfolio: return=40.88%, vol=8.29%. Weights: w_MTUM=0.8636, w_ETH-USD=0.0333, w_HYG=0.0000, w_PPLT=0.1031. | Assets: MTUM, ETH-USD, HYG, PPLT
Annualized mean returns: MTUM:0.3875, ETH-USD:0.8068, HYG:0.0869, PPLT:0.4593
Covariance matrix (annualized):
[[0.007201, 0.000476, 0.001697, 0.002256], [0.000476, 0.40804, -0.001596, 0.002679], [0.001697, -0.001596, 0.001599, 0.004126], [0.002256, 0.002679, 0.004126, 0.055922]]
Risk-fr... | w_MTUM=0.8636, w_ETH-USD=0.0333, w_HYG=0.0000, w_PPLT=0.1031 | 4.451666 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.8636, w_ETH-USD=0.0333, w_HYG=0.0000, w_PPLT=0.1031
Portfolio annualized return: 40.88%, volatility: 8.29%
Sharpe ratio: (0.4088 - 0.0400) / 0.0829 = 4.4517 | {
"weights": {
"MTUM": 0.8636,
"ETH-USD": 0.0333,
"HYG": 0,
"PPLT": 0.10310000000000001
},
"sharpe_ratio": 4.4517,
"portfolio_return": 0.408831,
"portfolio_vol": 0.082852,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220531_0759 | T5 | 3 | train | sideways | all | [
"^VIX",
"BNB-USD",
"SLV",
"ICSH"
] | 2022-05-31T00:00:00 | 4-asset optimization. Max-Sharpe: 0.927. Portfolio: return=141.07%, vol=147.86%. Weights: w_^VIX=1.0000, w_BNB-USD=0.0000, w_SLV=0.0000, w_ICSH=0.0000. | Assets: ^VIX, BNB-USD, SLV, ICSH
Annualized mean returns: ^VIX:1.4107, BNB-USD:-1.9999, SLV:-0.7037, ICSH:0.0089
Covariance matrix (annualized):
[[2.186389, -0.597379, -0.148526, -0.001155], [-0.597379, 0.656945, 0.038695, -0.000215], [-0.148526, 0.038695, 0.06211, 0.000317], [-0.001155, -0.000215, 0.000317, 2.8e-05]]
... | w_^VIX=1.0000, w_BNB-USD=0.0000, w_SLV=0.0000, w_ICSH=0.0000 | 0.927001 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=1.0000, w_BNB-USD=0.0000, w_SLV=0.0000, w_ICSH=0.0000
Portfolio annualized return: 141.07%, volatility: 147.86%
Sharpe ratio: (1.4107 - 0.0400) / 1.4786 = 0.9270 | {
"weights": {
"^VIX": 1,
"BNB-USD": 0,
"SLV": 0,
"ICSH": 0
},
"sharpe_ratio": 0.927,
"portfolio_return": 1.410705,
"portfolio_vol": 1.478644,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200603_0766 | T5 | 3 | train | sideways | all | [
"XLF",
"LINK-USD",
"XHB",
"STIP"
] | 2020-06-03T00:00:00 | 4-asset optimization. Max-Sharpe: 6.533. Portfolio: return=262.66%, vol=39.59%. Weights: w_XLF=0.0000, w_LINK-USD=0.3602, w_XHB=0.4884, w_STIP=0.1514. | Assets: XLF, LINK-USD, XHB, STIP
Annualized mean returns: XLF:0.6091, LINK-USD:4.1291, XHB:2.3124, STIP:0.0651
Covariance matrix (annualized):
[[0.152136, 0.1122, 0.158861, 0.002626], [0.1122, 0.541371, 0.107998, 0.000359], [0.158861, 0.107998, 0.201479, 0.002692], [0.002626, 0.000359, 0.002692, 0.000526]]
Risk-free ra... | w_XLF=0.0000, w_LINK-USD=0.3602, w_XHB=0.4884, w_STIP=0.1514 | 6.533136 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.0000, w_LINK-USD=0.3602, w_XHB=0.4884, w_STIP=0.1514
Portfolio annualized return: 262.66%, volatility: 39.59%
Sharpe ratio: (2.6266 - 0.0400) / 0.3959 = 6.5331 | {
"weights": {
"XLF": 0,
"LINK-USD": 0.3602,
"XHB": 0.4884,
"STIP": 0.1514
},
"sharpe_ratio": 6.5331,
"portfolio_return": 2.626556,
"portfolio_vol": 0.39591299999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220606_0770 | T5 | 3 | train | sideways | all | [
"XLB",
"MATIC-USD",
"SCHP",
"MORT"
] | 2022-06-06T00:00:00 | 4-asset optimization. Max-Sharpe: -0.238. Portfolio: return=-2.30%, vol=26.54%. Weights: w_XLB=1.0000, w_MATIC-USD=0.0000, w_SCHP=0.0000, w_MORT=0.0000. | Assets: XLB, MATIC-USD, SCHP, MORT
Annualized mean returns: XLB:-0.0230, MATIC-USD:-5.5276, SCHP:-0.0217, MORT:-0.1959
Covariance matrix (annualized):
[[0.070424, 0.136374, 0.006394, 0.050013], [0.136374, 1.189562, -0.003155, 0.121211], [0.006394, -0.003155, 0.006252, 0.007313], [0.050013, 0.121211, 0.007313, 0.06841]]... | w_XLB=1.0000, w_MATIC-USD=0.0000, w_SCHP=0.0000, w_MORT=0.0000 | -0.237557 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=1.0000, w_MATIC-USD=0.0000, w_SCHP=0.0000, w_MORT=0.0000
Portfolio annualized return: -2.30%, volatility: 26.54%
Sharpe ratio: (-0.0230 - 0.0400) / 0.2654 = -0.2376 | {
"weights": {
"XLB": 1,
"MATIC-USD": 0,
"SCHP": 0,
"MORT": 0
},
"sharpe_ratio": -0.2376,
"portfolio_return": -0.023042,
"portfolio_vol": 0.26537499999999997,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191211_0772 | T5 | 3 | train | sideways | all | [
"XLU",
"XRP-USD",
"WEAT",
"VNQ"
] | 2019-12-11T00:00:00 | 4-asset optimization. Max-Sharpe: 0.381. Portfolio: return=10.34%, vol=16.65%. Weights: w_XLU=0.0000, w_XRP-USD=0.0000, w_WEAT=1.0000, w_VNQ=0.0000. | Assets: XLU, XRP-USD, WEAT, VNQ
Annualized mean returns: XLU:-0.0911, XRP-USD:-1.0646, WEAT:0.1034, VNQ:-0.0288
Covariance matrix (annualized):
[[0.009631, -0.003232, -0.000657, 0.006619], [-0.003232, 0.23571, 0.010835, 0.004342], [-0.000657, 0.010835, 0.027737, -0.001421], [0.006619, 0.004342, -0.001421, 0.011497]]
Ri... | w_XLU=0.0000, w_XRP-USD=0.0000, w_WEAT=1.0000, w_VNQ=0.0000 | 0.380534 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.0000, w_XRP-USD=0.0000, w_WEAT=1.0000, w_VNQ=0.0000
Portfolio annualized return: 10.34%, volatility: 16.65%
Sharpe ratio: (0.1034 - 0.0400) / 0.1665 = 0.3805 | {
"weights": {
"XLU": 0,
"XRP-USD": 0,
"WEAT": 1,
"VNQ": 0
},
"sharpe_ratio": 0.3805,
"portfolio_return": 0.103376,
"portfolio_vol": 0.166545,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211027_0779 | T5 | 3 | train | sideways | all | [
"XLU",
"BNB-USD",
"UNG",
"VNQI"
] | 2021-10-27T00:00:00 | 4-asset optimization. Max-Sharpe: 2.224. Portfolio: return=151.36%, vol=66.26%. Weights: w_XLU=0.0000, w_BNB-USD=0.0323, w_UNG=0.9677, w_VNQI=0.0000. | Assets: XLU, BNB-USD, UNG, VNQI
Annualized mean returns: XLU:-0.0622, BNB-USD:0.3223, UNG:1.5533, VNQI:-0.1269
Covariance matrix (annualized):
[[0.022373, 0.039182, 0.012794, 0.003266], [0.039182, 0.70979, 0.063234, 0.044922], [0.012794, 0.063234, 0.463805, 0.022259], [0.003266, 0.044922, 0.022259, 0.015972]]
Risk-free... | w_XLU=0.0000, w_BNB-USD=0.0323, w_UNG=0.9677, w_VNQI=0.0000 | 2.223885 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.0000, w_BNB-USD=0.0323, w_UNG=0.9677, w_VNQI=0.0000
Portfolio annualized return: 151.36%, volatility: 66.26%
Sharpe ratio: (1.5136 - 0.0400) / 0.6626 = 2.2239 | {
"weights": {
"XLU": 0,
"BNB-USD": 0.0323,
"UNG": 0.9677,
"VNQI": 0
},
"sharpe_ratio": 2.2239,
"portfolio_return": 1.513552,
"portfolio_vol": 0.6626029999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210112_0785 | T5 | 3 | train | sideways | all | [
"XLB",
"SOL-USD",
"DBB",
"ITB"
] | 2021-01-12T00:00:00 | 4-asset optimization. Max-Sharpe: 4.835. Portfolio: return=74.74%, vol=14.63%. Weights: w_XLB=0.6619, w_SOL-USD=0.0451, w_DBB=0.2930, w_ITB=0.0000. | Assets: XLB, SOL-USD, DBB, ITB
Annualized mean returns: XLB:0.7615, SOL-USD:2.2242, DBB:0.4887, ITB:0.2488
Covariance matrix (annualized):
[[0.03261, -0.053316, 0.009051, 0.009973], [-0.053316, 2.437223, -0.028675, -0.009596], [0.009051, -0.028675, 0.030303, 0.002758], [0.009973, -0.009596, 0.002758, 0.067486]]
Risk-fr... | w_XLB=0.6619, w_SOL-USD=0.0451, w_DBB=0.2930, w_ITB=0.0000 | 4.834681 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.6619, w_SOL-USD=0.0451, w_DBB=0.2930, w_ITB=0.0000
Portfolio annualized return: 74.74%, volatility: 14.63%
Sharpe ratio: (0.7474 - 0.0400) / 0.1463 = 4.8347 | {
"weights": {
"XLB": 0.6619,
"SOL-USD": 0.0451,
"DBB": 0.293,
"ITB": 0
},
"sharpe_ratio": 4.8347,
"portfolio_return": 0.7474179999999999,
"portfolio_vol": 0.14632199999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190705_0787 | T5 | 3 | train | sideways | all | [
"IWM",
"BNB-USD",
"HAUZ",
"BIL"
] | 2019-07-05T00:00:00 | 4-asset optimization. Max-Sharpe: 3.281. Portfolio: return=47.04%, vol=13.12%. Weights: w_IWM=0.0000, w_BNB-USD=0.1310, w_HAUZ=0.8690, w_BIL=0.0000. | Assets: IWM, BNB-USD, HAUZ, BIL
Annualized mean returns: IWM:-0.1406, BNB-USD:2.1530, HAUZ:0.2167, BIL:0.0243
Covariance matrix (annualized):
[[0.031189, -0.006348, 0.010189, 3.8e-05], [-0.006348, 0.649662, -0.000734, -0.000294], [0.010189, -0.000734, 0.008242, 2.3e-05], [3.8e-05, -0.000294, 2.3e-05, 4e-06]]
Risk-free ... | w_IWM=0.0000, w_BNB-USD=0.1310, w_HAUZ=0.8690, w_BIL=0.0000 | 3.281218 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IWM=0.0000, w_BNB-USD=0.1310, w_HAUZ=0.8690, w_BIL=0.0000
Portfolio annualized return: 47.04%, volatility: 13.12%
Sharpe ratio: (0.4704 - 0.0400) / 0.1312 = 3.2812 | {
"weights": {
"IWM": 0,
"BNB-USD": 0.131,
"HAUZ": 0.869,
"BIL": 0
},
"sharpe_ratio": 3.2812,
"portfolio_return": 0.470404,
"portfolio_vol": 0.13117199999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180214_0790 | T5 | 3 | train | sideways | all | [
"FXI",
"ADA-USD",
"REZ",
"LQD"
] | 2018-02-14T00:00:00 | 4-asset optimization. Max-Sharpe: 1.124. Portfolio: return=32.98%, vol=25.79%. Weights: w_FXI=1.0000, w_ADA-USD=0.0000, w_REZ=0.0000, w_LQD=0.0000. | Assets: FXI, ADA-USD, REZ, LQD
Annualized mean returns: FXI:0.3298, ADA-USD:-2.9842, REZ:-0.8640, LQD:-0.2173
Covariance matrix (annualized):
[[0.06653, 0.140831, 0.018987, 0.001664], [0.140831, 2.650544, 0.044397, 0.003871], [0.018987, 0.044397, 0.038782, 0.003055], [0.001664, 0.003871, 0.003055, 0.002079]]
Risk-free ... | w_FXI=1.0000, w_ADA-USD=0.0000, w_REZ=0.0000, w_LQD=0.0000 | 1.123546 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=1.0000, w_ADA-USD=0.0000, w_REZ=0.0000, w_LQD=0.0000
Portfolio annualized return: 32.98%, volatility: 25.79%
Sharpe ratio: (0.3298 - 0.0400) / 0.2579 = 1.1235 | {
"weights": {
"FXI": 1,
"ADA-USD": 0,
"REZ": 0,
"LQD": 0
},
"sharpe_ratio": 1.1235,
"portfolio_return": 0.32980000000000004,
"portfolio_vol": 0.25793299999999997,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191028_0792 | T5 | 3 | train | sideways | all | [
"VEA",
"ETH-USD",
"ICSH",
"DBC"
] | 2019-10-28T00:00:00 | 4-asset optimization. Max-Sharpe: 3.718. Portfolio: return=42.77%, vol=10.43%. Weights: w_VEA=0.9882, w_ETH-USD=0.0118, w_ICSH=0.0000, w_DBC=0.0000. | Assets: VEA, ETH-USD, ICSH, DBC
Annualized mean returns: VEA:0.4333, ETH-USD:-0.0436, ICSH:0.0259, DBC:0.1384
Covariance matrix (annualized):
[[0.011259, -0.007932, -0.000116, 0.003638], [-0.007932, 0.466974, 0.000355, -0.001453], [-0.000116, 0.000355, 1.5e-05, -3.9e-05], [0.003638, -0.001453, -3.9e-05, 0.019212]]
Risk... | w_VEA=0.9882, w_ETH-USD=0.0118, w_ICSH=0.0000, w_DBC=0.0000 | 3.717769 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.9882, w_ETH-USD=0.0118, w_ICSH=0.0000, w_DBC=0.0000
Portfolio annualized return: 42.77%, volatility: 10.43%
Sharpe ratio: (0.4277 - 0.0400) / 0.1043 = 3.7178 | {
"weights": {
"VEA": 0.9882000000000001,
"ETH-USD": 0.0118,
"ICSH": 0,
"DBC": 0
},
"sharpe_ratio": 3.7178,
"portfolio_return": 0.42771499999999996,
"portfolio_vol": 0.10428699999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190204_0794 | T5 | 3 | train | sideways | all | [
"XLK",
"BNB-USD",
"BIL",
"DBC"
] | 2019-02-04T00:00:00 | 4-asset optimization. Max-Sharpe: 0.689. Portfolio: return=20.28%, vol=23.64%. Weights: w_XLK=0.0000, w_BNB-USD=0.1980, w_BIL=0.0000, w_DBC=0.8020. | Assets: XLK, BNB-USD, BIL, DBC
Annualized mean returns: XLK:-0.1046, BNB-USD:0.6165, BIL:0.0232, DBC:0.1006
Covariance matrix (annualized):
[[0.083463, 0.04406, -0.000101, 0.018343], [0.04406, 1.014901, -0.000705, -0.003798], [-0.000101, -0.000705, 4e-06, -7.7e-05], [0.018343, -0.003798, -7.7e-05, 0.026882]]
Risk-free ... | w_XLK=0.0000, w_BNB-USD=0.1980, w_BIL=0.0000, w_DBC=0.8020 | 0.688609 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLK=0.0000, w_BNB-USD=0.1980, w_BIL=0.0000, w_DBC=0.8020
Portfolio annualized return: 20.28%, volatility: 23.64%
Sharpe ratio: (0.2028 - 0.0400) / 0.2364 = 0.6886 | {
"weights": {
"XLK": 0,
"BNB-USD": 0.198,
"BIL": 0,
"DBC": 0.802
},
"sharpe_ratio": 0.6886,
"portfolio_return": 0.202757,
"portfolio_vol": 0.23635599999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210416_0797 | T5 | 3 | train | sideways | all | [
"FXI",
"ETH-USD",
"EMB",
"VNQI"
] | 2021-04-16T00:00:00 | 4-asset optimization. Max-Sharpe: 2.749. Portfolio: return=36.30%, vol=11.75%. Weights: w_FXI=0.0000, w_ETH-USD=0.0573, w_EMB=0.0000, w_VNQI=0.9427. | Assets: FXI, ETH-USD, EMB, VNQI
Annualized mean returns: FXI:-0.8310, ETH-USD:1.1620, EMB:-0.0315, VNQI:0.3145
Covariance matrix (annualized):
[[0.078836, 0.095537, 0.016302, 0.014777], [0.095537, 0.596494, 0.018706, 0.014616], [0.016302, 0.018706, 0.01246, 0.005161], [0.014777, 0.014616, 0.005161, 0.01156]]
Risk-free ... | w_FXI=0.0000, w_ETH-USD=0.0573, w_EMB=0.0000, w_VNQI=0.9427 | 2.748651 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_ETH-USD=0.0573, w_EMB=0.0000, w_VNQI=0.9427
Portfolio annualized return: 36.30%, volatility: 11.75%
Sharpe ratio: (0.3630 - 0.0400) / 0.1175 = 2.7487 | {
"weights": {
"FXI": 0,
"ETH-USD": 0.057300000000000004,
"EMB": 0,
"VNQI": 0.9427000000000001
},
"sharpe_ratio": 2.7487,
"portfolio_return": 0.363044,
"portfolio_vol": 0.117528,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20191216_0799 | T5 | 3 | train | sideways | all | [
"XLE",
"MATIC-USD",
"TLH",
"ICSH"
] | 2019-12-16T00:00:00 | 4-asset optimization. Max-Sharpe: 2.677. Portfolio: return=59.93%, vol=20.89%. Weights: w_XLE=0.6063, w_MATIC-USD=0.1203, w_TLH=0.2734, w_ICSH=0.0000. | Assets: XLE, MATIC-USD, TLH, ICSH
Annualized mean returns: XLE:0.3157, MATIC-USD:3.4388, TLH:-0.0216, ICSH:0.0248
Covariance matrix (annualized):
[[0.03529, 0.02613, -0.011068, -0.000123], [0.02613, 2.084108, -0.005222, -0.00173], [-0.011068, -0.005222, 0.009253, 8.4e-05], [-0.000123, -0.00173, 8.4e-05, 1e-05]]
Risk-fr... | w_XLE=0.6063, w_MATIC-USD=0.1203, w_TLH=0.2734, w_ICSH=0.0000 | 2.677397 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.6063, w_MATIC-USD=0.1203, w_TLH=0.2734, w_ICSH=0.0000
Portfolio annualized return: 59.93%, volatility: 20.89%
Sharpe ratio: (0.5993 - 0.0400) / 0.2089 = 2.6774 | {
"weights": {
"XLE": 0.6063000000000001,
"MATIC-USD": 0.1203,
"TLH": 0.27340000000000003,
"ICSH": 0
},
"sharpe_ratio": 2.6774,
"portfolio_return": 0.599314,
"portfolio_vol": 0.208902,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210726_0801 | T5 | 3 | train | sideways | all | [
"MTUM",
"DOT-USD",
"VCIT",
"SGOV"
] | 2021-07-26T00:00:00 | 4-asset optimization. Max-Sharpe: 3.053. Portfolio: return=13.50%, vol=3.11%. Weights: w_MTUM=0.1492, w_DOT-USD=0.0000, w_VCIT=0.8508, w_SGOV=0.0000. | Assets: MTUM, DOT-USD, VCIT, SGOV
Annualized mean returns: MTUM:0.2030, DOT-USD:-3.7062, VCIT:0.1231, SGOV:0.0006
Covariance matrix (annualized):
[[0.021697, -0.00243, -0.001851, 1.3e-05], [-0.00243, 1.333543, 0.002291, -0.000237], [-0.001851, 0.002291, 0.00132, -4e-06], [1.3e-05, -0.000237, -4e-06, 1e-06]]
Risk-free r... | w_MTUM=0.1492, w_DOT-USD=0.0000, w_VCIT=0.8508, w_SGOV=0.0000 | 3.052651 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.1492, w_DOT-USD=0.0000, w_VCIT=0.8508, w_SGOV=0.0000
Portfolio annualized return: 13.50%, volatility: 3.11%
Sharpe ratio: (0.1350 - 0.0400) / 0.0311 = 3.0527 | {
"weights": {
"MTUM": 0.1492,
"DOT-USD": 0,
"VCIT": 0.8508,
"SGOV": 0
},
"sharpe_ratio": 3.0527,
"portfolio_return": 0.134986,
"portfolio_vol": 0.031115999999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220524_0803 | T5 | 3 | train | sideways | all | [
"VEA",
"BTC-USD",
"VNQ",
"BIL"
] | 2022-05-24T00:00:00 | 4-asset optimization. Max-Sharpe: -1.639. Portfolio: return=-37.65%, vol=25.41%. Weights: w_VEA=0.0000, w_BTC-USD=0.0000, w_VNQ=1.0000, w_BIL=0.0000. | Assets: VEA, BTC-USD, VNQ, BIL
Annualized mean returns: VEA:-0.3857, BTC-USD:-2.8933, VNQ:-0.3765, BIL:0.0020
Covariance matrix (annualized):
[[0.045186, 0.080823, 0.041756, 0.000123], [0.080823, 0.329571, 0.068732, 0.000386], [0.041756, 0.068732, 0.064591, 0.00012], [0.000123, 0.000386, 0.00012, 3e-06]]
Risk-free rate... | w_VEA=0.0000, w_BTC-USD=0.0000, w_VNQ=1.0000, w_BIL=0.0000 | -1.638916 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.0000, w_BTC-USD=0.0000, w_VNQ=1.0000, w_BIL=0.0000
Portfolio annualized return: -37.65%, volatility: 25.41%
Sharpe ratio: (-0.3765 - 0.0400) / 0.2541 = -1.6389 | {
"weights": {
"VEA": 0,
"BTC-USD": 0,
"VNQ": 1,
"BIL": 0
},
"sharpe_ratio": -1.6389,
"portfolio_return": -0.37652599999999997,
"portfolio_vol": 0.254147,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180706_0807 | T5 | 3 | train | sideways | all | [
"FXI",
"BNB-USD",
"REZ",
"SHV"
] | 2018-07-06T00:00:00 | 4-asset optimization. Max-Sharpe: 4.614. Portfolio: return=64.20%, vol=13.05%. Weights: w_FXI=0.0000, w_BNB-USD=0.0755, w_REZ=0.9245, w_SHV=0.0000. | Assets: FXI, BNB-USD, REZ, SHV
Annualized mean returns: FXI:-0.5440, BNB-USD:1.9595, REZ:0.5345, SHV:0.0184
Covariance matrix (annualized):
[[0.037642, 0.007047, 0.006021, -0.000177], [0.007047, 0.895193, -0.014369, -2.6e-05], [0.006021, -0.014369, 0.016293, 8e-06], [-0.000177, -2.6e-05, 8e-06, 4e-06]]
Risk-free rate: ... | w_FXI=0.0000, w_BNB-USD=0.0755, w_REZ=0.9245, w_SHV=0.0000 | 4.614423 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_BNB-USD=0.0755, w_REZ=0.9245, w_SHV=0.0000
Portfolio annualized return: 64.20%, volatility: 13.05%
Sharpe ratio: (0.6420 - 0.0400) / 0.1305 = 4.6144 | {
"weights": {
"FXI": 0,
"BNB-USD": 0.0755,
"REZ": 0.9245000000000001,
"SHV": 0
},
"sharpe_ratio": 4.6144,
"portfolio_return": 0.641996,
"portfolio_vol": 0.13046000000000002,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221209_0809 | T5 | 3 | train | sideways | all | [
"EWJ",
"DOT-USD",
"BIL",
"VNQI"
] | 2022-12-09T00:00:00 | 4-asset optimization. Max-Sharpe: 2.193. Portfolio: return=42.75%, vol=17.67%. Weights: w_EWJ=0.6970, w_DOT-USD=0.0000, w_BIL=0.0000, w_VNQI=0.3030. | Assets: EWJ, DOT-USD, BIL, VNQI
Annualized mean returns: EWJ:0.4261, DOT-USD:-0.5321, BIL:0.0345, VNQI:0.4306
Covariance matrix (annualized):
[[0.033025, 0.05584, -5.7e-05, 0.0267], [0.05584, 0.495696, -0.000313, 0.056779], [-5.7e-05, -0.000313, 8e-06, 5.3e-05], [0.0267, 0.056779, 5.3e-05, 0.042431]]
Risk-free rate: 4.... | w_EWJ=0.6970, w_DOT-USD=0.0000, w_BIL=0.0000, w_VNQI=0.3030 | 2.193041 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.6970, w_DOT-USD=0.0000, w_BIL=0.0000, w_VNQI=0.3030
Portfolio annualized return: 42.75%, volatility: 17.67%
Sharpe ratio: (0.4275 - 0.0400) / 0.1767 = 2.1930 | {
"weights": {
"EWJ": 0.6970000000000001,
"DOT-USD": 0,
"BIL": 0,
"VNQI": 0.303
},
"sharpe_ratio": 2.193,
"portfolio_return": 0.427473,
"portfolio_vol": 0.17668299999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210813_0812 | T5 | 3 | train | sideways | all | [
"IWM",
"MATIC-USD",
"XHB",
"SGOV"
] | 2021-08-13T00:00:00 | 4-asset optimization. Max-Sharpe: 1.888. Portfolio: return=43.02%, vol=20.67%. Weights: w_IWM=0.0000, w_MATIC-USD=0.0000, w_XHB=1.0000, w_SGOV=0.0000. | Assets: IWM, MATIC-USD, XHB, SGOV
Annualized mean returns: IWM:-0.2201, MATIC-USD:0.1035, XHB:0.4302, SGOV:-0.0004
Covariance matrix (annualized):
[[0.036007, 0.025534, 0.025766, 1.8e-05], [0.025534, 1.756695, 0.049887, 2.8e-05], [0.025766, 0.049887, 0.042707, 1.6e-05], [1.8e-05, 2.8e-05, 1.6e-05, 1e-06]]
Risk-free rat... | w_IWM=0.0000, w_MATIC-USD=0.0000, w_XHB=1.0000, w_SGOV=0.0000 | 1.887938 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IWM=0.0000, w_MATIC-USD=0.0000, w_XHB=1.0000, w_SGOV=0.0000
Portfolio annualized return: 43.02%, volatility: 20.67%
Sharpe ratio: (0.4302 - 0.0400) / 0.2067 = 1.8879 | {
"weights": {
"IWM": 0,
"MATIC-USD": 0,
"XHB": 1,
"SGOV": 0
},
"sharpe_ratio": 1.8879000000000001,
"portfolio_return": 0.430153,
"portfolio_vol": 0.20665599999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220715_0814 | T5 | 3 | train | sideways | all | [
"USMV",
"DOT-USD",
"SCHP",
"SOYB"
] | 2022-07-15T00:00:00 | 4-asset optimization. Max-Sharpe: -0.521. Portfolio: return=-5.98%, vol=19.16%. Weights: w_USMV=1.0000, w_DOT-USD=0.0000, w_SCHP=0.0000, w_SOYB=0.0000. | Assets: USMV, DOT-USD, SCHP, SOYB
Annualized mean returns: USMV:-0.0598, DOT-USD:-3.5975, SCHP:-0.1250, SOYB:-0.1996
Covariance matrix (annualized):
[[0.03672, 0.078958, 0.003636, 0.002679], [0.078958, 0.867643, 0.002498, 0.022068], [0.003636, 0.002498, 0.006155, -0.00163], [0.002679, 0.022068, -0.00163, 0.051056]]
Ris... | w_USMV=1.0000, w_DOT-USD=0.0000, w_SCHP=0.0000, w_SOYB=0.0000 | -0.520673 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=1.0000, w_DOT-USD=0.0000, w_SCHP=0.0000, w_SOYB=0.0000
Portfolio annualized return: -5.98%, volatility: 19.16%
Sharpe ratio: (-0.0598 - 0.0400) / 0.1916 = -0.5207 | {
"weights": {
"USMV": 1,
"DOT-USD": 0,
"SCHP": 0,
"SOYB": 0
},
"sharpe_ratio": -0.5207,
"portfolio_return": -0.059774,
"portfolio_vol": 0.191625,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190524_0816 | T5 | 3 | train | sideways | all | [
"ACWI",
"LINK-USD",
"VNQI",
"LQD"
] | 2019-05-24T00:00:00 | 4-asset optimization. Max-Sharpe: 5.616. Portfolio: return=108.27%, vol=18.56%. Weights: w_ACWI=0.0000, w_LINK-USD=0.1819, w_VNQI=0.0000, w_LQD=0.8181. | Assets: ACWI, LINK-USD, VNQI, LQD
Annualized mean returns: ACWI:-0.0197, LINK-USD:5.5858, VNQI:-0.0782, LQD:0.0814
Covariance matrix (annualized):
[[0.013239, 0.020757, 0.007616, -1e-06], [0.020757, 0.998698, 0.028359, 0.002019], [0.007616, 0.028359, 0.007061, 0.000252], [-1e-06, 0.002019, 0.000252, 0.001223]]
Risk-fre... | w_ACWI=0.0000, w_LINK-USD=0.1819, w_VNQI=0.0000, w_LQD=0.8181 | 5.616266 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_ACWI=0.0000, w_LINK-USD=0.1819, w_VNQI=0.0000, w_LQD=0.8181
Portfolio annualized return: 108.27%, volatility: 18.56%
Sharpe ratio: (1.0827 - 0.0400) / 0.1856 = 5.6163 | {
"weights": {
"ACWI": 0,
"LINK-USD": 0.1819,
"VNQI": 0,
"LQD": 0.8181
},
"sharpe_ratio": 5.6163,
"portfolio_return": 1.082653,
"portfolio_vol": 0.18564899999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190717_0820 | T5 | 3 | train | sideways | all | [
"ACWI",
"BNB-USD",
"HAUZ",
"CORN"
] | 2019-07-17T00:00:00 | 4-asset optimization. Max-Sharpe: 3.344. Portfolio: return=33.53%, vol=8.83%. Weights: w_ACWI=0.4294, w_BNB-USD=0.0231, w_HAUZ=0.3694, w_CORN=0.1781. | Assets: ACWI, BNB-USD, HAUZ, CORN
Annualized mean returns: ACWI:0.3058, BNB-USD:0.7326, HAUZ:0.2568, CORN:0.5177
Covariance matrix (annualized):
[[0.010199, 0.008973, 0.005779, 0.001678], [0.008973, 0.473328, 0.005871, 0.007569], [0.005779, 0.005871, 0.006173, 0.004646], [0.001678, 0.007569, 0.004646, 0.056171]]
Risk-f... | w_ACWI=0.4294, w_BNB-USD=0.0231, w_HAUZ=0.3694, w_CORN=0.1781 | 3.343634 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_ACWI=0.4294, w_BNB-USD=0.0231, w_HAUZ=0.3694, w_CORN=0.1781
Portfolio annualized return: 33.53%, volatility: 8.83%
Sharpe ratio: (0.3353 - 0.0400) / 0.0883 = 3.3436 | {
"weights": {
"ACWI": 0.4294,
"BNB-USD": 0.023100000000000002,
"HAUZ": 0.3694,
"CORN": 0.1781
},
"sharpe_ratio": 3.3436,
"portfolio_return": 0.33527399999999996,
"portfolio_vol": 0.088309,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220912_0822 | T5 | 3 | train | sideways | all | [
"USMV",
"XRP-USD",
"HYG",
"DBB"
] | 2022-09-12T00:00:00 | 4-asset optimization. Max-Sharpe: 2.449. Portfolio: return=36.46%, vol=13.25%. Weights: w_USMV=0.5028, w_XRP-USD=0.0323, w_HYG=0.0000, w_DBB=0.4649. | Assets: USMV, XRP-USD, HYG, DBB
Annualized mean returns: USMV:0.2857, XRP-USD:0.5572, HYG:0.1630, DBB:0.4366
Covariance matrix (annualized):
[[0.023064, 0.029047, 0.015756, 0.001638], [0.029047, 0.244344, 0.024503, 0.011814], [0.015756, 0.024503, 0.014872, 0.00183], [0.001638, 0.011814, 0.00183, 0.043576]]
Risk-free ra... | w_USMV=0.5028, w_XRP-USD=0.0323, w_HYG=0.0000, w_DBB=0.4649 | 2.449355 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=0.5028, w_XRP-USD=0.0323, w_HYG=0.0000, w_DBB=0.4649
Portfolio annualized return: 36.46%, volatility: 13.25%
Sharpe ratio: (0.3646 - 0.0400) / 0.1325 = 2.4494 | {
"weights": {
"USMV": 0.5028,
"XRP-USD": 0.0323,
"HYG": 0,
"DBB": 0.46490000000000004
},
"sharpe_ratio": 2.4494,
"portfolio_return": 0.36464,
"portfolio_vol": 0.132541,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180913_0824 | T5 | 3 | train | sideways | all | [
"XLI",
"LINK-USD",
"ITB",
"SHV"
] | 2018-09-13T00:00:00 | 4-asset optimization. Max-Sharpe: 3.230. Portfolio: return=49.26%, vol=14.01%. Weights: w_XLI=0.9281, w_LINK-USD=0.0719, w_ITB=0.0000, w_SHV=0.0000. | Assets: XLI, LINK-USD, ITB, SHV
Annualized mean returns: XLI:0.3523, LINK-USD:2.3049, ITB:-0.1148, SHV:0.0184
Covariance matrix (annualized):
[[0.013435, 0.014971, 0.010193, 1.4e-05], [0.014971, 1.173784, 0.043734, 0.000266], [0.010193, 0.043734, 0.041851, 5.9e-05], [1.4e-05, 0.000266, 5.9e-05, 1e-06]]
Risk-free rate: ... | w_XLI=0.9281, w_LINK-USD=0.0719, w_ITB=0.0000, w_SHV=0.0000 | 3.230315 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=0.9281, w_LINK-USD=0.0719, w_ITB=0.0000, w_SHV=0.0000
Portfolio annualized return: 49.26%, volatility: 14.01%
Sharpe ratio: (0.4926 - 0.0400) / 0.1401 = 3.2303 | {
"weights": {
"XLI": 0.9281,
"LINK-USD": 0.0719,
"ITB": 0,
"SHV": 0
},
"sharpe_ratio": 3.2303,
"portfolio_return": 0.49261000000000005,
"portfolio_vol": 0.140113,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181010_0826 | T5 | 3 | train | sideways | all | [
"VTI",
"ADA-USD",
"LQD",
"BIL"
] | 2018-10-10T00:00:00 | 4-asset optimization. Max-Sharpe: 0.474. Portfolio: return=7.16%, vol=6.66%. Weights: w_VTI=1.0000, w_ADA-USD=0.0000, w_LQD=0.0000, w_BIL=0.0000. | Assets: VTI, ADA-USD, LQD, BIL
Annualized mean returns: VTI:0.0716, ADA-USD:-0.7236, LQD:-0.0813, BIL:0.0171
Covariance matrix (annualized):
[[0.00444, 0.024873, 0.000332, -5.3e-05], [0.024873, 0.968858, -0.000442, 0.00033], [0.000332, -0.000442, 0.001395, -3e-06], [-5.3e-05, 0.00033, -3e-06, 4e-06]]
Risk-free rate: 4.... | w_VTI=1.0000, w_ADA-USD=0.0000, w_LQD=0.0000, w_BIL=0.0000 | 0.473762 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=1.0000, w_ADA-USD=0.0000, w_LQD=0.0000, w_BIL=0.0000
Portfolio annualized return: 7.16%, volatility: 6.66%
Sharpe ratio: (0.0716 - 0.0400) / 0.0666 = 0.4738 | {
"weights": {
"VTI": 1,
"ADA-USD": 0,
"LQD": 0,
"BIL": 0
},
"sharpe_ratio": 0.4738,
"portfolio_return": 0.07156699999999999,
"portfolio_vol": 0.06663000000000001,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211012_0829 | T5 | 3 | train | sideways | all | [
"XLI",
"LINK-USD",
"INDS",
"LQD"
] | 2021-10-12T00:00:00 | 4-asset optimization. Max-Sharpe: -0.767. Portfolio: return=-86.23%, vol=117.65%. Weights: w_XLI=0.0000, w_LINK-USD=1.0000, w_INDS=0.0000, w_LQD=0.0000. | Assets: XLI, LINK-USD, INDS, LQD
Annualized mean returns: XLI:-0.2907, LINK-USD:-0.8623, INDS:-0.0585, LQD:-0.0971
Covariance matrix (annualized):
[[0.018475, 0.048406, 0.007068, 0.001208], [0.048406, 1.384123, 0.072922, 0.025035], [0.007068, 0.072922, 0.019734, 0.002136], [0.001208, 0.025035, 0.002136, 0.003359]]
Risk... | w_XLI=0.0000, w_LINK-USD=1.0000, w_INDS=0.0000, w_LQD=0.0000 | -0.76698 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=0.0000, w_LINK-USD=1.0000, w_INDS=0.0000, w_LQD=0.0000
Portfolio annualized return: -86.23%, volatility: 117.65%
Sharpe ratio: (-0.8623 - 0.0400) / 1.1765 = -0.7670 | {
"weights": {
"XLI": 0,
"LINK-USD": 1,
"INDS": 0,
"LQD": 0
},
"sharpe_ratio": -0.767,
"portfolio_return": -0.862343,
"portfolio_vol": 1.176487,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210118_0831 | T5 | 3 | train | sideways | all | [
"XLU",
"DOT-USD",
"IYR",
"BIL"
] | 2021-01-18T00:00:00 | 4-asset optimization. Max-Sharpe: 3.935. Portfolio: return=653.43%, vol=165.02%. Weights: w_XLU=0.0000, w_DOT-USD=1.0000, w_IYR=0.0000, w_BIL=0.0000. | Assets: XLU, DOT-USD, IYR, BIL
Annualized mean returns: XLU:-0.0655, DOT-USD:6.5343, IYR:0.0164, BIL:-0.0005
Covariance matrix (annualized):
[[0.027411, 0.099714, 0.015505, 3e-06], [0.099714, 2.723183, 0.074875, 0.000593], [0.015505, 0.074875, 0.025411, 1.9e-05], [3e-06, 0.000593, 1.9e-05, 2e-06]]
Risk-free rate: 4.00%... | w_XLU=0.0000, w_DOT-USD=1.0000, w_IYR=0.0000, w_BIL=0.0000 | 3.935464 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.0000, w_DOT-USD=1.0000, w_IYR=0.0000, w_BIL=0.0000
Portfolio annualized return: 653.43%, volatility: 165.02%
Sharpe ratio: (6.5343 - 0.0400) / 1.6502 = 3.9355 | {
"weights": {
"XLU": 0,
"DOT-USD": 1,
"IYR": 0,
"BIL": 0
},
"sharpe_ratio": 3.9355,
"portfolio_return": 6.534331,
"portfolio_vol": 1.650207,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210223_0833 | T5 | 3 | train | sideways | all | [
"XLF",
"BTC-USD",
"REZ",
"IEF"
] | 2021-02-23T00:00:00 | 4-asset optimization. Max-Sharpe: 5.317. Portfolio: return=167.10%, vol=30.68%. Weights: w_XLF=0.3818, w_BTC-USD=0.2718, w_REZ=0.3464, w_IEF=0.0000. | Assets: XLF, BTC-USD, REZ, IEF
Annualized mean returns: XLF:0.7633, BTC-USD:4.4262, REZ:0.5098, IEF:-0.1887
Covariance matrix (annualized):
[[0.041218, 0.079067, 0.013012, -0.00398], [0.079067, 0.769032, 0.040062, -0.007407], [0.013012, 0.040062, 0.032467, 0.000867], [-0.00398, -0.007407, 0.000867, 0.001428]]
Risk-free... | w_XLF=0.3818, w_BTC-USD=0.2718, w_REZ=0.3464, w_IEF=0.0000 | 5.316773 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.3818, w_BTC-USD=0.2718, w_REZ=0.3464, w_IEF=0.0000
Portfolio annualized return: 167.10%, volatility: 30.68%
Sharpe ratio: (1.6710 - 0.0400) / 0.3068 = 5.3168 | {
"weights": {
"XLF": 0.38180000000000003,
"BTC-USD": 0.2718,
"REZ": 0.34640000000000004,
"IEF": 0
},
"sharpe_ratio": 5.3168,
"portfolio_return": 1.670986,
"portfolio_vol": 0.306762,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201026_0837 | T5 | 3 | train | sideways | all | [
"XLP",
"ADA-USD",
"SHV",
"PALL"
] | 2020-10-26T00:00:00 | 4-asset optimization. Max-Sharpe: 1.967. Portfolio: return=51.92%, vol=24.37%. Weights: w_XLP=0.1075, w_ADA-USD=0.0000, w_SHV=0.0000, w_PALL=0.8925. | Assets: XLP, ADA-USD, SHV, PALL
Annualized mean returns: XLP:0.0931, ADA-USD:-0.5896, SHV:-0.0002, PALL:0.5705
Covariance matrix (annualized):
[[0.020207, 0.041375, 3.7e-05, 0.004943], [0.041375, 0.769753, -1e-05, 0.027152], [3.7e-05, -1e-05, 1e-06, -4.6e-05], [0.004943, 0.027152, -4.6e-05, 0.07305]]
Risk-free rate: 4.... | w_XLP=0.1075, w_ADA-USD=0.0000, w_SHV=0.0000, w_PALL=0.8925 | 1.966659 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.1075, w_ADA-USD=0.0000, w_SHV=0.0000, w_PALL=0.8925
Portfolio annualized return: 51.92%, volatility: 24.37%
Sharpe ratio: (0.5192 - 0.0400) / 0.2437 = 1.9667 | {
"weights": {
"XLP": 0.1075,
"ADA-USD": 0,
"SHV": 0,
"PALL": 0.8925000000000001
},
"sharpe_ratio": 1.9667,
"portfolio_return": 0.51919,
"portfolio_vol": 0.24365699999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220426_0843 | T5 | 3 | train | sideways | all | [
"XLP",
"DOT-USD",
"BNO",
"BNDX"
] | 2022-04-26T00:00:00 | 4-asset optimization. Max-Sharpe: 3.568. Portfolio: return=51.99%, vol=13.45%. Weights: w_XLP=0.8354, w_DOT-USD=0.0031, w_BNO=0.1615, w_BNDX=0.0000. | Assets: XLP, DOT-USD, BNO, BNDX
Annualized mean returns: XLP:0.4563, DOT-USD:0.3363, BNO:0.8522, BNDX:-0.2204
Covariance matrix (annualized):
[[0.025665, 0.006348, -0.035743, -0.000635], [0.006348, 0.491176, 0.026839, 0.005391], [-0.035743, 0.026839, 0.374015, 0.008535], [-0.000635, 0.005391, 0.008535, 0.003421]]
Risk-... | w_XLP=0.8354, w_DOT-USD=0.0031, w_BNO=0.1615, w_BNDX=0.0000 | 3.56819 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.8354, w_DOT-USD=0.0031, w_BNO=0.1615, w_BNDX=0.0000
Portfolio annualized return: 51.99%, volatility: 13.45%
Sharpe ratio: (0.5199 - 0.0400) / 0.1345 = 3.5682 | {
"weights": {
"XLP": 0.8354,
"DOT-USD": 0.0031000000000000003,
"BNO": 0.1615,
"BNDX": 0
},
"sharpe_ratio": 3.5682,
"portfolio_return": 0.51985,
"portfolio_vol": 0.13448000000000002,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220923_0845 | T5 | 3 | train | sideways | all | [
"VEA",
"ADA-USD",
"UNG",
"BNDX"
] | 2022-09-23T00:00:00 | 4-asset optimization. Max-Sharpe: -0.682. Portfolio: return=-40.50%, vol=65.21%. Weights: w_VEA=0.0000, w_ADA-USD=0.0000, w_UNG=1.0000, w_BNDX=0.0000. | Assets: VEA, ADA-USD, UNG, BNDX
Annualized mean returns: VEA:-0.4051, ADA-USD:-1.2452, UNG:-0.4050, BNDX:-0.2312
Covariance matrix (annualized):
[[0.036246, 0.071994, 0.031292, 0.005116], [0.071994, 0.400236, 0.023969, 0.00958], [0.031292, 0.023969, 0.425283, 0.005322], [0.005116, 0.00958, 0.005322, 0.004049]]
Risk-fre... | w_VEA=0.0000, w_ADA-USD=0.0000, w_UNG=1.0000, w_BNDX=0.0000 | -0.682308 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.0000, w_ADA-USD=0.0000, w_UNG=1.0000, w_BNDX=0.0000
Portfolio annualized return: -40.50%, volatility: 65.21%
Sharpe ratio: (-0.4050 - 0.0400) / 0.6521 = -0.6823 | {
"weights": {
"VEA": 0,
"ADA-USD": 0,
"UNG": 1,
"BNDX": 0
},
"sharpe_ratio": -0.6823,
"portfolio_return": -0.404958,
"portfolio_vol": 0.652137,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220718_0847 | T5 | 3 | train | sideways | all | [
"IWM",
"BNB-USD",
"SHV",
"DBA"
] | 2022-07-18T00:00:00 | 4-asset optimization. Max-Sharpe: -0.004. Portfolio: return=3.88%, vol=27.25%. Weights: w_IWM=1.0000, w_BNB-USD=0.0000, w_SHV=0.0000, w_DBA=0.0000. | Assets: IWM, BNB-USD, SHV, DBA
Annualized mean returns: IWM:0.0388, BNB-USD:-1.2155, SHV:0.0038, DBA:-0.7333
Covariance matrix (annualized):
[[0.074248, 0.081567, 8.9e-05, 0.008823], [0.081567, 0.415878, 0.000507, -0.007523], [8.9e-05, 0.000507, 1e-05, -3.6e-05], [0.008823, -0.007523, -3.6e-05, 0.030322]]
Risk-free rat... | w_IWM=1.0000, w_BNB-USD=0.0000, w_SHV=0.0000, w_DBA=0.0000 | -0.004391 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IWM=1.0000, w_BNB-USD=0.0000, w_SHV=0.0000, w_DBA=0.0000
Portfolio annualized return: 3.88%, volatility: 27.25%
Sharpe ratio: (0.0388 - 0.0400) / 0.2725 = -0.0044 | {
"weights": {
"IWM": 1,
"BNB-USD": 0,
"SHV": 0,
"DBA": 0
},
"sharpe_ratio": -0.0044,
"portfolio_return": 0.038804,
"portfolio_vol": 0.272486,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200803_0849 | T5 | 3 | train | sideways | all | [
"IVV",
"SOL-USD",
"BIL",
"IEF"
] | 2020-08-03T00:00:00 | 4-asset optimization. Max-Sharpe: 6.361. Portfolio: return=24.81%, vol=3.27%. Weights: w_IVV=0.1359, w_SOL-USD=0.0184, w_BIL=0.0000, w_IEF=0.8457. | Assets: IVV, SOL-USD, BIL, IEF
Annualized mean returns: IVV:0.4669, SOL-USD:5.2318, BIL:0.0000, IEF:0.1046
Covariance matrix (annualized):
[[0.036925, 0.040061, 5.4e-05, -0.00421], [0.040061, 1.546695, 0.000138, -0.0085], [5.4e-05, 0.000138, 2e-06, 3e-06], [-0.00421, -0.0085, 3e-06, 0.001254]]
Risk-free rate: 4.00%
Con... | w_IVV=0.1359, w_SOL-USD=0.0184, w_BIL=0.0000, w_IEF=0.8457 | 6.361146 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.1359, w_SOL-USD=0.0184, w_BIL=0.0000, w_IEF=0.8457
Portfolio annualized return: 24.81%, volatility: 3.27%
Sharpe ratio: (0.2481 - 0.0400) / 0.0327 = 6.3611 | {
"weights": {
"IVV": 0.1359,
"SOL-USD": 0.0184,
"BIL": 0,
"IEF": 0.8457
},
"sharpe_ratio": 6.3611,
"portfolio_return": 0.24811699999999998,
"portfolio_vol": 0.032716999999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180419_0857 | T5 | 3 | train | sideways | all | [
"IVV",
"BTC-USD",
"WEAT",
"VNQI"
] | 2018-04-19T00:00:00 | 4-asset optimization. Max-Sharpe: 0.565. Portfolio: return=10.90%, vol=12.22%. Weights: w_IVV=0.0000, w_BTC-USD=0.0000, w_WEAT=0.0467, w_VNQI=0.9533. | Assets: IVV, BTC-USD, WEAT, VNQI
Annualized mean returns: IVV:-0.0443, BTC-USD:-1.7966, WEAT:0.0618, VNQI:0.1113
Covariance matrix (annualized):
[[0.037365, -0.008237, -0.002211, 0.019979], [-0.008237, 0.563323, 0.004293, -0.017589], [-0.002211, 0.004293, 0.068398, 0.001591], [0.019979, -0.017589, 0.001591, 0.016105]]
... | w_IVV=0.0000, w_BTC-USD=0.0000, w_WEAT=0.0467, w_VNQI=0.9533 | 0.564712 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.0000, w_BTC-USD=0.0000, w_WEAT=0.0467, w_VNQI=0.9533
Portfolio annualized return: 10.90%, volatility: 12.22%
Sharpe ratio: (0.1090 - 0.0400) / 0.1222 = 0.5647 | {
"weights": {
"IVV": 0,
"BTC-USD": 0,
"WEAT": 0.046700000000000005,
"VNQI": 0.9533
},
"sharpe_ratio": 0.5647,
"portfolio_return": 0.10899199999999999,
"portfolio_vol": 0.12217299999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190318_0860 | T5 | 3 | train | sideways | all | [
"XLV",
"BNB-USD",
"PALL",
"BIL"
] | 2019-03-18T00:00:00 | 4-asset optimization. Max-Sharpe: 6.385. Portfolio: return=235.63%, vol=36.28%. Weights: w_XLV=0.0916, w_BNB-USD=0.3497, w_PALL=0.5587, w_BIL=0.0000. | Assets: XLV, BNB-USD, PALL, BIL
Annualized mean returns: XLV:0.2856, BNB-USD:5.1527, PALL:0.9455, BIL:0.0227
Covariance matrix (annualized):
[[0.016548, 0.019706, 0.009931, 9e-06], [0.019706, 0.766909, 0.036668, 0.00018], [0.009931, 0.036668, 0.067495, -2.3e-05], [9e-06, 0.00018, -2.3e-05, 3e-06]]
Risk-free rate: 4.00%... | w_XLV=0.0916, w_BNB-USD=0.3497, w_PALL=0.5587, w_BIL=0.0000 | 6.385049 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=0.0916, w_BNB-USD=0.3497, w_PALL=0.5587, w_BIL=0.0000
Portfolio annualized return: 235.63%, volatility: 36.28%
Sharpe ratio: (2.3563 - 0.0400) / 0.3628 = 6.3850 | {
"weights": {
"XLV": 0.0916,
"BNB-USD": 0.3497,
"PALL": 0.5587,
"BIL": 0
},
"sharpe_ratio": 6.385,
"portfolio_return": 2.356301,
"portfolio_vol": 0.36277000000000004,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180116_0862 | T5 | 3 | train | sideways | all | [
"XLB",
"LINK-USD",
"DBB",
"IYR"
] | 2018-01-16T00:00:00 | 4-asset optimization. Max-Sharpe: 6.693. Portfolio: return=55.81%, vol=7.74%. Weights: w_XLB=0.7529, w_LINK-USD=0.0126, w_DBB=0.2344, w_IYR=0.0000. | Assets: XLB, LINK-USD, DBB, IYR
Annualized mean returns: XLB:0.5955, LINK-USD:1.6487, DBB:0.3794, IYR:-0.3874
Covariance matrix (annualized):
[[0.009264, -0.02407, -0.001054, 0.001116], [-0.02407, 2.453784, 0.024663, 0.00222], [-0.001054, 0.024663, 0.018802, 0.002194], [0.001116, 0.00222, 0.002194, 0.010141]]
Risk-free... | w_XLB=0.7529, w_LINK-USD=0.0126, w_DBB=0.2344, w_IYR=0.0000 | 6.693151 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.7529, w_LINK-USD=0.0126, w_DBB=0.2344, w_IYR=0.0000
Portfolio annualized return: 55.81%, volatility: 7.74%
Sharpe ratio: (0.5581 - 0.0400) / 0.0774 = 6.6932 | {
"weights": {
"XLB": 0.7529,
"LINK-USD": 0.0126,
"DBB": 0.23440000000000003,
"IYR": 0
},
"sharpe_ratio": 6.6932,
"portfolio_return": 0.558125,
"portfolio_vol": 0.077411,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190507_0864 | T5 | 3 | train | sideways | all | [
"VTI",
"ETH-USD",
"SHV",
"ICSH"
] | 2019-05-07T00:00:00 | 4-asset optimization. Max-Sharpe: 4.262. Portfolio: return=47.83%, vol=10.28%. Weights: w_VTI=0.9149, w_ETH-USD=0.0851, w_SHV=0.0000, w_ICSH=0.0000. | Assets: VTI, ETH-USD, SHV, ICSH
Annualized mean returns: VTI:0.4074, ETH-USD:1.2402, SHV:0.0244, ICSH:0.0335
Covariance matrix (annualized):
[[0.009749, -0.00062, -5.8e-05, -0.000145], [-0.00062, 0.346855, -1.3e-05, 0.000397], [-5.8e-05, -1.3e-05, 7e-06, -1e-06], [-0.000145, 0.000397, -1e-06, 2e-05]]
Risk-free rate: 4.... | w_VTI=0.9149, w_ETH-USD=0.0851, w_SHV=0.0000, w_ICSH=0.0000 | 4.261755 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=0.9149, w_ETH-USD=0.0851, w_SHV=0.0000, w_ICSH=0.0000
Portfolio annualized return: 47.83%, volatility: 10.28%
Sharpe ratio: (0.4783 - 0.0400) / 0.1028 = 4.2618 | {
"weights": {
"VTI": 0.9149,
"ETH-USD": 0.08510000000000001,
"SHV": 0,
"ICSH": 0
},
"sharpe_ratio": 4.2618,
"portfolio_return": 0.47829699999999997,
"portfolio_vol": 0.10284399999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201127_0868 | T5 | 3 | train | sideways | all | [
"XLRE",
"ETH-USD",
"PDBC",
"IEF"
] | 2020-11-27T00:00:00 | 4-asset optimization. Max-Sharpe: 4.614. Portfolio: return=85.48%, vol=17.66%. Weights: w_XLRE=0.3180, w_ETH-USD=0.2583, w_PDBC=0.4237, w_IEF=0.0000. | Assets: XLRE, ETH-USD, PDBC, IEF
Annualized mean returns: XLRE:0.3637, ETH-USD:2.1263, PDBC:0.4485, IEF:-0.0868
Covariance matrix (annualized):
[[0.034228, -0.007202, 0.007945, -0.002119], [-0.007202, 0.30834, 0.005943, -0.000616], [0.007945, 0.005943, 0.027313, -0.001674], [-0.002119, -0.000616, -0.001674, 0.002043]]
... | w_XLRE=0.3180, w_ETH-USD=0.2583, w_PDBC=0.4237, w_IEF=0.0000 | 4.613827 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.3180, w_ETH-USD=0.2583, w_PDBC=0.4237, w_IEF=0.0000
Portfolio annualized return: 85.48%, volatility: 17.66%
Sharpe ratio: (0.8548 - 0.0400) / 0.1766 = 4.6138 | {
"weights": {
"XLRE": 0.318,
"ETH-USD": 0.25830000000000003,
"PDBC": 0.4237,
"IEF": 0
},
"sharpe_ratio": 4.6138,
"portfolio_return": 0.8548209999999999,
"portfolio_vol": 0.17660399999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200324_0870 | T5 | 3 | train | sideways | all | [
"XLP",
"BTC-USD",
"STIP",
"SOYB"
] | 2020-03-24T00:00:00 | 4-asset optimization. Max-Sharpe: 2.032. Portfolio: return=150.34%, vol=72.03%. Weights: w_XLP=0.0000, w_BTC-USD=1.0000, w_STIP=0.0000, w_SOYB=0.0000. | Assets: XLP, BTC-USD, STIP, SOYB
Annualized mean returns: XLP:-1.3388, BTC-USD:1.5034, STIP:0.0213, SOYB:-0.4613
Covariance matrix (annualized):
[[0.057772, 0.044193, -0.000135, 0.007698], [0.044193, 0.518845, 0.011482, 0.039168], [-0.000135, 0.011482, 0.001306, 0.001928], [0.007698, 0.039168, 0.001928, 0.020942]]
Risk... | w_XLP=0.0000, w_BTC-USD=1.0000, w_STIP=0.0000, w_SOYB=0.0000 | 2.031633 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLP=0.0000, w_BTC-USD=1.0000, w_STIP=0.0000, w_SOYB=0.0000
Portfolio annualized return: 150.34%, volatility: 72.03%
Sharpe ratio: (1.5034 - 0.0400) / 0.7203 = 2.0316 | {
"weights": {
"XLP": 0,
"BTC-USD": 1,
"STIP": 0,
"SOYB": 0
},
"sharpe_ratio": 2.0316,
"portfolio_return": 1.503403,
"portfolio_vol": 0.720309,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211223_0872 | T5 | 3 | train | sideways | all | [
"^VIX",
"MATIC-USD",
"IAU",
"VCIT"
] | 2021-12-23T00:00:00 | 4-asset optimization. Max-Sharpe: 3.565. Portfolio: return=279.50%, vol=77.28%. Weights: w_^VIX=0.2949, w_MATIC-USD=0.7051, w_IAU=0.0000, w_VCIT=0.0000. | Assets: ^VIX, MATIC-USD, IAU, VCIT
Annualized mean returns: ^VIX:0.4747, MATIC-USD:3.7656, IAU:0.0381, VCIT:0.0356
Covariance matrix (annualized):
[[2.142987, -0.762834, -0.012985, 0.014305], [-0.762834, 1.464535, 0.009501, -0.006312], [-0.012985, 0.009501, 0.013413, 0.001955], [0.014305, -0.006312, 0.001955, 0.002025]... | w_^VIX=0.2949, w_MATIC-USD=0.7051, w_IAU=0.0000, w_VCIT=0.0000 | 3.565074 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=0.2949, w_MATIC-USD=0.7051, w_IAU=0.0000, w_VCIT=0.0000
Portfolio annualized return: 279.50%, volatility: 77.28%
Sharpe ratio: (2.7950 - 0.0400) / 0.7728 = 3.5651 | {
"weights": {
"^VIX": 0.2949,
"MATIC-USD": 0.7051000000000001,
"IAU": 0,
"VCIT": 0
},
"sharpe_ratio": 3.5651,
"portfolio_return": 2.794995,
"portfolio_vol": 0.772774,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180720_0874 | T5 | 3 | train | sideways | all | [
"XLY",
"BTC-USD",
"REZ",
"JNK"
] | 2018-07-20T00:00:00 | 4-asset optimization. Max-Sharpe: 5.752. Portfolio: return=50.66%, vol=8.11%. Weights: w_XLY=0.4529, w_BTC-USD=0.0262, w_REZ=0.5209, w_JNK=0.0000. | Assets: XLY, BTC-USD, REZ, JNK
Annualized mean returns: XLY:0.4451, BTC-USD:-0.3480, REZ:0.6030, JNK:0.0635
Covariance matrix (annualized):
[[0.010947, -0.00759, 0.001831, 0.001981], [-0.00759, 0.308234, -0.019389, -0.00176], [0.001831, -0.019389, 0.014626, 0.000445], [0.001981, -0.00176, 0.000445, 0.000862]]
Risk-free... | w_XLY=0.4529, w_BTC-USD=0.0262, w_REZ=0.5209, w_JNK=0.0000 | 5.752141 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.4529, w_BTC-USD=0.0262, w_REZ=0.5209, w_JNK=0.0000
Portfolio annualized return: 50.66%, volatility: 8.11%
Sharpe ratio: (0.5066 - 0.0400) / 0.0811 = 5.7521 | {
"weights": {
"XLY": 0.4529,
"BTC-USD": 0.0262,
"REZ": 0.5209,
"JNK": 0
},
"sharpe_ratio": 5.7521,
"portfolio_return": 0.5066269999999999,
"portfolio_vol": 0.081122,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210209_0878 | T5 | 3 | train | sideways | all | [
"QUAL",
"ETH-USD",
"BNO",
"ITB"
] | 2021-02-09T00:00:00 | 4-asset optimization. Max-Sharpe: 6.992. Portfolio: return=154.40%, vol=21.51%. Weights: w_QUAL=0.0000, w_ETH-USD=0.1050, w_BNO=0.4806, w_ITB=0.4144. | Assets: QUAL, ETH-USD, BNO, ITB
Annualized mean returns: QUAL:0.2964, ETH-USD:4.6099, BNO:1.2309, ITB:1.1304
Covariance matrix (annualized):
[[0.018981, 0.0297, 0.01358, 0.018895], [0.0297, 1.068212, 0.042732, 0.019052], [0.01358, 0.042732, 0.060969, 0.006871], [0.018895, 0.019052, 0.006871, 0.068147]]
Risk-free rate: ... | w_QUAL=0.0000, w_ETH-USD=0.1050, w_BNO=0.4806, w_ITB=0.4144 | 6.992135 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=0.0000, w_ETH-USD=0.1050, w_BNO=0.4806, w_ITB=0.4144
Portfolio annualized return: 154.40%, volatility: 21.51%
Sharpe ratio: (1.5440 - 0.0400) / 0.2151 = 6.9921 | {
"weights": {
"QUAL": 0,
"ETH-USD": 0.105,
"BNO": 0.4806,
"ITB": 0.41440000000000005
},
"sharpe_ratio": 6.9921,
"portfolio_return": 1.5440049999999998,
"portfolio_vol": 0.2151,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221207_0882 | T5 | 3 | train | sideways | all | [
"IWM",
"LINK-USD",
"TLH",
"MORT"
] | 2022-12-07T00:00:00 | 4-asset optimization. Max-Sharpe: 2.085. Portfolio: return=48.01%, vol=21.11%. Weights: w_IWM=0.0000, w_LINK-USD=0.0005, w_TLH=0.4094, w_MORT=0.5901. | Assets: IWM, LINK-USD, TLH, MORT
Annualized mean returns: IWM:0.2517, LINK-USD:0.7341, TLH:0.2013, MORT:0.6733
Covariance matrix (annualized):
[[0.070847, 0.125251, 0.009016, 0.067239], [0.125251, 0.883934, 0.008499, 0.112417], [0.009016, 0.008499, 0.021704, 0.012601], [0.067239, 0.112417, 0.012601, 0.099787]]
Risk-fre... | w_IWM=0.0000, w_LINK-USD=0.0005, w_TLH=0.4094, w_MORT=0.5901 | 2.085101 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IWM=0.0000, w_LINK-USD=0.0005, w_TLH=0.4094, w_MORT=0.5901
Portfolio annualized return: 48.01%, volatility: 21.11%
Sharpe ratio: (0.4801 - 0.0400) / 0.2111 = 2.0851 | {
"weights": {
"IWM": 0,
"LINK-USD": 0.0005,
"TLH": 0.40940000000000004,
"MORT": 0.5901000000000001
},
"sharpe_ratio": 2.0851,
"portfolio_return": 0.48008599999999996,
"portfolio_vol": 0.211062,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180206_0884 | T5 | 3 | train | sideways | all | [
"VEA",
"ADA-USD",
"SCHH",
"DBA"
] | 2018-02-06T00:00:00 | 4-asset optimization. Max-Sharpe: 1.353. Portfolio: return=14.22%, vol=7.56%. Weights: w_VEA=0.3760, w_ADA-USD=0.0000, w_SCHH=0.0000, w_DBA=0.6240. | Assets: VEA, ADA-USD, SCHH, DBA
Annualized mean returns: VEA:0.1663, ADA-USD:-1.6762, SCHH:-0.5895, DBA:0.1277
Covariance matrix (annualized):
[[0.014364, 0.060552, 0.00839, 0.002654], [0.060552, 3.034537, 0.040125, 0.003298], [0.00839, 0.040125, 0.027041, -0.000761], [0.002654, 0.003298, -0.000761, 0.006256]]
Risk-fre... | w_VEA=0.3760, w_ADA-USD=0.0000, w_SCHH=0.0000, w_DBA=0.6240 | 1.352679 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.3760, w_ADA-USD=0.0000, w_SCHH=0.0000, w_DBA=0.6240
Portfolio annualized return: 14.22%, volatility: 7.56%
Sharpe ratio: (0.1422 - 0.0400) / 0.0756 = 1.3527 | {
"weights": {
"VEA": 0.376,
"ADA-USD": 0,
"SCHH": 0,
"DBA": 0.624
},
"sharpe_ratio": 1.3527,
"portfolio_return": 0.142234,
"portfolio_vol": 0.075579,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180208_0886 | T5 | 3 | train | sideways | all | [
"XLI",
"XRP-USD",
"TLH",
"SCHH"
] | 2018-02-08T00:00:00 | 4-asset optimization. Max-Sharpe: 3.032. Portfolio: return=130.08%, vol=41.58%. Weights: w_XLI=0.8406, w_XRP-USD=0.1594, w_TLH=0.0000, w_SCHH=0.0000. | Assets: XLI, XRP-USD, TLH, SCHH
Annualized mean returns: XLI:0.2207, XRP-USD:6.9978, TLH:-0.2648, SCHH:-0.6311
Covariance matrix (annualized):
[[0.018759, 0.056528, -0.001918, 0.009097], [0.056528, 5.688319, 0.032203, 0.086243], [-0.001918, 0.032203, 0.003727, 0.002244], [0.009097, 0.086243, 0.002244, 0.025982]]
Risk-f... | w_XLI=0.8406, w_XRP-USD=0.1594, w_TLH=0.0000, w_SCHH=0.0000 | 3.032249 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=0.8406, w_XRP-USD=0.1594, w_TLH=0.0000, w_SCHH=0.0000
Portfolio annualized return: 130.08%, volatility: 41.58%
Sharpe ratio: (1.3008 - 0.0400) / 0.4158 = 3.0322 | {
"weights": {
"XLI": 0.8406,
"XRP-USD": 0.15940000000000001,
"TLH": 0,
"SCHH": 0
},
"sharpe_ratio": 3.0322,
"portfolio_return": 1.300791,
"portfolio_vol": 0.415794,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181112_0890 | T5 | 3 | train | sideways | all | [
"XLU",
"ETH-USD",
"IYR",
"PDBC"
] | 2018-11-12T00:00:00 | 4-asset optimization. Max-Sharpe: 0.637. Portfolio: return=17.98%, vol=21.93%. Weights: w_XLU=0.8358, w_ETH-USD=0.1642, w_IYR=0.0000, w_PDBC=0.0000. | Assets: XLU, ETH-USD, IYR, PDBC
Annualized mean returns: XLU:0.1296, ETH-USD:0.4350, IYR:-0.0786, PDBC:-0.3729
Covariance matrix (annualized):
[[0.029043, 0.039968, 0.019808, -0.000332], [0.039968, 0.624074, 0.043565, 0.010313], [0.019808, 0.043565, 0.029701, 0.000272], [-0.000332, 0.010313, 0.000272, 0.019852]]
Risk-f... | w_XLU=0.8358, w_ETH-USD=0.1642, w_IYR=0.0000, w_PDBC=0.0000 | 0.637402 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.8358, w_ETH-USD=0.1642, w_IYR=0.0000, w_PDBC=0.0000
Portfolio annualized return: 17.98%, volatility: 21.93%
Sharpe ratio: (0.1798 - 0.0400) / 0.2193 = 0.6374 | {
"weights": {
"XLU": 0.8358,
"ETH-USD": 0.1642,
"IYR": 0,
"PDBC": 0
},
"sharpe_ratio": 0.6374000000000001,
"portfolio_return": 0.179781,
"portfolio_vol": 0.219298,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210607_0897 | T5 | 3 | train | sideways | all | [
"XLB",
"BNB-USD",
"IAU",
"SHY"
] | 2021-06-07T00:00:00 | 4-asset optimization. Max-Sharpe: 5.257. Portfolio: return=63.94%, vol=11.40%. Weights: w_XLB=0.3166, w_BNB-USD=0.0291, w_IAU=0.6543, w_SHY=0.0000. | Assets: XLB, BNB-USD, IAU, SHY
Annualized mean returns: XLB:0.6366, BNB-USD:3.1160, IAU:0.5305, SHY:0.0060
Covariance matrix (annualized):
[[0.025224, 0.03881, 0.005842, 6.7e-05], [0.03881, 2.249417, -0.016915, 0.001181], [0.005842, -0.016915, 0.014184, 0.000205], [6.7e-05, 0.001181, 0.000205, 1.3e-05]]
Risk-free rate:... | w_XLB=0.3166, w_BNB-USD=0.0291, w_IAU=0.6543, w_SHY=0.0000 | 5.257168 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.3166, w_BNB-USD=0.0291, w_IAU=0.6543, w_SHY=0.0000
Portfolio annualized return: 63.94%, volatility: 11.40%
Sharpe ratio: (0.6394 - 0.0400) / 0.1140 = 5.2572 | {
"weights": {
"XLB": 0.3166,
"BNB-USD": 0.0291,
"IAU": 0.6543,
"SHY": 0
},
"sharpe_ratio": 5.2572,
"portfolio_return": 0.6393719999999999,
"portfolio_vol": 0.11401000000000001,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190128_0899 | T5 | 3 | train | sideways | all | [
"XLY",
"BTC-USD",
"SCHH",
"ICSH"
] | 2019-01-28T00:00:00 | 4-asset optimization. Max-Sharpe: 0.051. Portfolio: return=5.17%, vol=22.91%. Weights: w_XLY=0.0000, w_BTC-USD=0.0000, w_SCHH=1.0000, w_ICSH=0.0000. | Assets: XLY, BTC-USD, SCHH, ICSH
Annualized mean returns: XLY:-0.1738, BTC-USD:-0.9204, SCHH:0.0517, ICSH:0.0338
Covariance matrix (annualized):
[[0.067435, -0.03051, 0.037045, -0.00037], [-0.03051, 0.423609, -0.063669, 0.000412], [0.037045, -0.063669, 0.052502, -0.000275], [-0.00037, 0.000412, -0.000275, 1.5e-05]]
Ris... | w_XLY=0.0000, w_BTC-USD=0.0000, w_SCHH=1.0000, w_ICSH=0.0000 | 0.05118 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLY=0.0000, w_BTC-USD=0.0000, w_SCHH=1.0000, w_ICSH=0.0000
Portfolio annualized return: 5.17%, volatility: 22.91%
Sharpe ratio: (0.0517 - 0.0400) / 0.2291 = 0.0512 | {
"weights": {
"XLY": 0,
"BTC-USD": 0,
"SCHH": 1,
"ICSH": 0
},
"sharpe_ratio": 0.0512,
"portfolio_return": 0.051726999999999995,
"portfolio_vol": 0.22913399999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200805_0902 | T5 | 3 | train | sideways | all | [
"IVV",
"ADA-USD",
"IEF",
"ITB"
] | 2020-08-05T00:00:00 | 4-asset optimization. Max-Sharpe: 8.609. Portfolio: return=24.47%, vol=2.38%. Weights: w_IVV=0.0505, w_ADA-USD=0.0089, w_IEF=0.8966, w_ITB=0.0440. | Assets: IVV, ADA-USD, IEF, ITB
Annualized mean returns: IVV:0.3943, ADA-USD:2.0329, IEF:0.1777, ITB:1.0778
Covariance matrix (annualized):
[[0.033325, 0.03745, -0.003517, 0.04807], [0.03745, 0.672592, -0.004762, 0.043463], [-0.003517, -0.004762, 0.00099, -0.006529], [0.04807, 0.043463, -0.006529, 0.134139]]
Risk-free r... | w_IVV=0.0505, w_ADA-USD=0.0089, w_IEF=0.8966, w_ITB=0.0440 | 8.608754 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.0505, w_ADA-USD=0.0089, w_IEF=0.8966, w_ITB=0.0440
Portfolio annualized return: 24.47%, volatility: 2.38%
Sharpe ratio: (0.2447 - 0.0400) / 0.0238 = 8.6088 | {
"weights": {
"IVV": 0.0505,
"ADA-USD": 0.0089,
"IEF": 0.8966000000000001,
"ITB": 0.044
},
"sharpe_ratio": 8.6088,
"portfolio_return": 0.24470399999999998,
"portfolio_vol": 0.023778999999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201022_0905 | T5 | 3 | train | sideways | all | [
"IVV",
"MATIC-USD",
"ICSH",
"SCHP"
] | 2020-10-22T00:00:00 | 4-asset optimization. Max-Sharpe: 0.272. Portfolio: return=9.51%, vol=20.26%. Weights: w_IVV=1.0000, w_MATIC-USD=0.0000, w_ICSH=0.0000, w_SCHP=0.0000. | Assets: IVV, MATIC-USD, ICSH, SCHP
Annualized mean returns: IVV:0.0951, MATIC-USD:-2.3707, ICSH:0.0053, SCHP:0.0183
Covariance matrix (annualized):
[[0.041042, 0.091996, -0.000158, 0.00115], [0.091996, 0.830765, -0.00021, 0.009564], [-0.000158, -0.00021, 1.2e-05, 3e-05], [0.00115, 0.009564, 3e-05, 0.000798]]
Risk-free ... | w_IVV=1.0000, w_MATIC-USD=0.0000, w_ICSH=0.0000, w_SCHP=0.0000 | 0.271755 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=1.0000, w_MATIC-USD=0.0000, w_ICSH=0.0000, w_SCHP=0.0000
Portfolio annualized return: 9.51%, volatility: 20.26%
Sharpe ratio: (0.0951 - 0.0400) / 0.2026 = 0.2718 | {
"weights": {
"IVV": 1,
"MATIC-USD": 0,
"ICSH": 0,
"SCHP": 0
},
"sharpe_ratio": 0.2718,
"portfolio_return": 0.095054,
"portfolio_vol": 0.202588,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210122_0908 | T5 | 3 | train | sideways | all | [
"^VIX",
"AVAX-USD",
"VNQ",
"SGOV"
] | 2021-01-22T00:00:00 | 4-asset optimization. Max-Sharpe: 4.036. Portfolio: return=453.42%, vol=111.36%. Weights: w_^VIX=0.0171, w_AVAX-USD=0.8877, w_VNQ=0.0951, w_SGOV=0.0000. | Assets: ^VIX, AVAX-USD, VNQ, SGOV
Annualized mean returns: ^VIX:-0.6667, AVAX-USD:5.1006, VNQ:0.1851, SGOV:0.0007
Covariance matrix (annualized):
[[0.882017, -0.227479, -0.085778, -2.7e-05], [-0.227479, 1.572535, 0.043819, 8.3e-05], [-0.085778, 0.043819, 0.027358, 5e-06], [-2.7e-05, 8.3e-05, 5e-06, 0.0]]
Risk-free rate... | w_^VIX=0.0171, w_AVAX-USD=0.8877, w_VNQ=0.0951, w_SGOV=0.0000 | 4.035921 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=0.0171, w_AVAX-USD=0.8877, w_VNQ=0.0951, w_SGOV=0.0000
Portfolio annualized return: 453.42%, volatility: 111.36%
Sharpe ratio: (4.5342 - 0.0400) / 1.1136 = 4.0359 | {
"weights": {
"^VIX": 0.0171,
"AVAX-USD": 0.8877,
"VNQ": 0.0951,
"SGOV": 0
},
"sharpe_ratio": 4.0359,
"portfolio_return": 4.534209,
"portfolio_vol": 1.113552,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210723_0910 | T5 | 3 | train | sideways | all | [
"VLUE",
"DOT-USD",
"PDBC",
"SCHH"
] | 2021-07-23T00:00:00 | 4-asset optimization. Max-Sharpe: 3.303. Portfolio: return=46.39%, vol=12.83%. Weights: w_VLUE=0.0000, w_DOT-USD=0.0000, w_PDBC=0.2614, w_SCHH=0.7386. | Assets: VLUE, DOT-USD, PDBC, SCHH
Annualized mean returns: VLUE:-0.1481, DOT-USD:-1.5722, PDBC:0.3776, SCHH:0.4945
Covariance matrix (annualized):
[[0.020022, 0.023669, 0.014754, 0.012205], [0.023669, 1.881361, 0.030814, -0.001134], [0.014754, 0.030814, 0.032295, 0.006331], [0.012205, -0.001134, 0.006331, 0.021664]]
Ri... | w_VLUE=0.0000, w_DOT-USD=0.0000, w_PDBC=0.2614, w_SCHH=0.7386 | 3.303309 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VLUE=0.0000, w_DOT-USD=0.0000, w_PDBC=0.2614, w_SCHH=0.7386
Portfolio annualized return: 46.39%, volatility: 12.83%
Sharpe ratio: (0.4639 - 0.0400) / 0.1283 = 3.3033 | {
"weights": {
"VLUE": 0,
"DOT-USD": 0,
"PDBC": 0.2614,
"SCHH": 0.7386
},
"sharpe_ratio": 3.3033,
"portfolio_return": 0.46393199999999996,
"portfolio_vol": 0.128336,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210927_0912 | T5 | 3 | train | sideways | all | [
"XLU",
"MATIC-USD",
"VNQI",
"GLD"
] | 2021-09-27T00:00:00 | 4-asset optimization. Max-Sharpe: 1.124. Portfolio: return=140.86%, vol=121.76%. Weights: w_XLU=0.0000, w_MATIC-USD=1.0000, w_VNQI=0.0000, w_GLD=0.0000. | Assets: XLU, MATIC-USD, VNQI, GLD
Annualized mean returns: XLU:-0.0668, MATIC-USD:1.4086, VNQI:-0.1213, GLD:-0.2046
Covariance matrix (annualized):
[[0.014459, 0.048817, 0.003868, 0.003127], [0.048817, 1.482646, 0.069402, 0.043585], [0.003868, 0.069402, 0.016933, 0.00636], [0.003127, 0.043585, 0.00636, 0.021124]]
Risk-... | w_XLU=0.0000, w_MATIC-USD=1.0000, w_VNQI=0.0000, w_GLD=0.0000 | 1.123962 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.0000, w_MATIC-USD=1.0000, w_VNQI=0.0000, w_GLD=0.0000
Portfolio annualized return: 140.86%, volatility: 121.76%
Sharpe ratio: (1.4086 - 0.0400) / 1.2176 = 1.1240 | {
"weights": {
"XLU": 0,
"MATIC-USD": 1,
"VNQI": 0,
"GLD": 0
},
"sharpe_ratio": 1.124,
"portfolio_return": 1.4085800000000002,
"portfolio_vol": 1.217639,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220608_0914 | T5 | 3 | train | sideways | all | [
"XLF",
"LINK-USD",
"BIL",
"VCIT"
] | 2022-06-08T00:00:00 | 4-asset optimization. Max-Sharpe: -1.876. Portfolio: return=-45.68%, vol=26.48%. Weights: w_XLF=1.0000, w_LINK-USD=0.0000, w_BIL=0.0000, w_VCIT=0.0000. | Assets: XLF, LINK-USD, BIL, VCIT
Annualized mean returns: XLF:-0.4568, LINK-USD:-4.8359, BIL:0.0028, VCIT:-0.1381
Covariance matrix (annualized):
[[0.070107, 0.136939, 0.000228, 0.005547], [0.136939, 1.071285, 0.000544, 0.009157], [0.000228, 0.000544, 4e-06, 3.7e-05], [0.005547, 0.009157, 3.7e-05, 0.006378]]
Risk-free ... | w_XLF=1.0000, w_LINK-USD=0.0000, w_BIL=0.0000, w_VCIT=0.0000 | -1.87624 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=1.0000, w_LINK-USD=0.0000, w_BIL=0.0000, w_VCIT=0.0000
Portfolio annualized return: -45.68%, volatility: 26.48%
Sharpe ratio: (-0.4568 - 0.0400) / 0.2648 = -1.8762 | {
"weights": {
"XLF": 1,
"LINK-USD": 0,
"BIL": 0,
"VCIT": 0
},
"sharpe_ratio": -1.8762,
"portfolio_return": -0.45678599999999997,
"portfolio_vol": 0.264777,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200703_0917 | T5 | 3 | train | sideways | all | [
"EFA",
"ETH-USD",
"VNQI",
"TIP"
] | 2020-07-03T00:00:00 | 4-asset optimization. Max-Sharpe: 4.649. Portfolio: return=12.77%, vol=1.89%. Weights: w_EFA=0.0422, w_ETH-USD=0.0000, w_VNQI=0.0000, w_TIP=0.9578. | Assets: EFA, ETH-USD, VNQI, TIP
Annualized mean returns: EFA:0.7856, ETH-USD:0.8100, VNQI:0.6302, TIP:0.0987
Covariance matrix (annualized):
[[0.044405, 0.042726, 0.040705, 0.001201], [0.042726, 0.21129, 0.027608, 0.001729], [0.040705, 0.027608, 0.049257, 0.001172], [0.001201, 0.001729, 0.001172, 0.000196]]
Risk-free r... | w_EFA=0.0422, w_ETH-USD=0.0000, w_VNQI=0.0000, w_TIP=0.9578 | 4.649109 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=0.0422, w_ETH-USD=0.0000, w_VNQI=0.0000, w_TIP=0.9578
Portfolio annualized return: 12.77%, volatility: 1.89%
Sharpe ratio: (0.1277 - 0.0400) / 0.0189 = 4.6491 | {
"weights": {
"EFA": 0.0422,
"ETH-USD": 0,
"VNQI": 0,
"TIP": 0.9578000000000001
},
"sharpe_ratio": 4.6491,
"portfolio_return": 0.12770499999999999,
"portfolio_vol": 0.018865,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
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