Explore the allocations
Pick a model and universe, set constraints and costs, then run it. Optimize is fast and refreshes the frontier, weights, and risk decomposition. Run backtest to rebuild the walk-forward, out-of-sample equity curve, drawdowns, and significance. Every number is computed by the engine - nothing is mocked.
Optimized Max Sharpe. Expected annual return 10.7%, volatility 12.1%, tangency Sharpe 0.71.
Backtest ready. Chosen strategy Max Sharpe, Sharpe 0.64, max drawdown -22.4%.
OOS-only
window2007-04-12 → 2024-12-30
rebalancemonthly
cost10 bps
risk-free2.0%
engine012c0e3f119d
Efficient frontier
random cloud · frontier · tangencyRisk contribution
Max SharpeGrowth of $1
out-of-sample, net of costsMax Sharpe
Equal Weight (1/N)
60/40
SPY (buy & hold)
Drawdown
Max SharpeRolling Sharpe
252-day windowWeights over time
Max SharpeSPYUS Large Cap
QQQUS Tech (Nasdaq-100)
EFADeveloped ex-US
EEMEmerging Markets
AGGUS Aggregate Bonds
TLTLong Treasuries
LQDIG Credit
HYGHigh-Yield Credit
VNQUS REITs
GLDGold
DBCCommodities
Tearsheet
chosen vs benchmarks| Strategy | CAGR | Vol | Sharpe | Sortino | MaxDD | Calmar | VaR95 | Turnover | PSR | DSR |
|---|---|---|---|---|---|---|---|---|---|---|
| Max Sharpe | 8.2% | 9.9% | 0.64 | 0.89 | -22.4% | 0.36 | -1.0% | 23.1% | 99.9% | 96.6% |
| Equal Weight (1/N) | 6.5% | 9.8% | 0.48 | 0.67 | -21.2% | 0.31 | -0.9% | 2.9% | 99.5% | 89.0% |
| 60/40 | 9.2% | 10.4% | 0.70 | 0.98 | -21.6% | 0.42 | -1.0% | 2.1% | 100.0% | 97.7% |
| SPY (buy & hold) | 13.6% | 17.1% | 0.72 | 1.00 | -33.7% | 0.40 | -1.6% | 100.0% | 99.9% | 96.1% |
Significance
PSR · DSR · bootstrap CIPSR99.9%P(Sharpe > 0)
DSR96.6%deflated, 7 trials
Sharpe0.85point estimate
95% CI0.41 to 1.341,000 block-bootstrap
The true Sharpe is positive with ~100% probability (PSR). Deflating for 7 strategy trials, that confidence holds at 97% (DSR). The block-bootstrap 95% interval for the Sharpe is [0.41, 1.34], which excludes zero.