Efficient frontier
Each dot is a random long-only mix. The curve is the best return available at each level of volatility. The dashed line lends or borrows at the risk-free rate around the max-Sharpe portfolio.
AAPL MSFT NVDA AMZN GOOGL META · 5 years · 1,254 days · Oct 26, 2021 – Oct 26, 2026
Max Sharpe
Return 47.6% · Vol 42.2% · Sharpe 1.03
AAPL 25% · NVDA 74% · GOOGL 1%
- Random mixes
- Efficient frontier
- Capital market line
- Max Sharpe
- Minimum variance
- Equal weight
- Your allocation
Max Sharpe
Return 47.6% · Vol 42.2% · Sharpe 1.03
AAPL 25% · NVDA 74% · GOOGL 1%
- Random mixes
- Efficient frontier
- Capital market line
- Max Sharpe
- Minimum variance
- Equal weight
- Your allocation
Maximum Sharpe allocation
This is the split of the funds that lands on the highest Sharpe ratio, 1.03. Return 47.6%, volatility 42.2%.
- NVDA73.8%
NVIDIA Corporation
- AAPL24.8%
Apple Inc.
- GOOGL1.4%
Alphabet Inc.
- MSFT0.0%
Microsoft Corporation
- AMZN0.0%
Amazon.com, Inc.
- META0.0%
Meta Platforms, Inc.
The best of 1,800 random mixes reached a Sharpe of 1.02, against 1.03 for the optimizer.