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Looks nice, but I'm confused how to read the Expected Returns y-axis. My assumption would be that's an annualized ROI, but it's displaying for instance that US
by mNovak 4y ago
Looks nice, but I'm confused how to read the Expected Returns y-axis. My assumption would be that's an annualized ROI, but it's displaying for instance that US Stocks return 0.7% ? Also no idea if Risk has any objective unit?
Running the 6 asset classic, it is slightly amusing that the result is essentially just a classic 70-30 stock/bond mix (risk dependent obviously), and the other 4 assets are <5% of portfolio.
Would be nice if you could include also representative ETFs of a given asset class (I assume they exist) to make the results more actionable.
- justinluther 4y agoThanks for your feedback! This is on my to-do list of things to fix-- some of the flavors have been developed using monthly returns and some use annual. In both cases the x axis is variance of the periodic returns. Also in some cases the returns are log returns which is also a todo. I will fix it so that the x axis is labeled with the user's choice of risk metric used by the optimizer. Also, I should have mentioned it, but the risk choice isn't implemented in the backend yet so the risk metric choice just defaults to variance for right now.