Portfolio Optimizer

Modern Portfolio Theory & Risk Management

Asset Allocation

stocks60%

bonds30%

commodities5%

realEstate5%

cash0%

Total100%

Optimization Settings

Risk Level

Optimization Method

Simulation Parameters

Time Horizon (years)

Initial Investment ($)

Portfolio Metrics

Expected Return

8.50%

Volatility

12.30%

Sharpe Ratio

0.69

Sortino Ratio

0.95

Max Drawdown-18.50%

VaR (95%)-15.20%

CVaR (95%)-22.10%

Efficient Frontier

Correlation Matrix

	STK	BND	COM	RE	CSH
STK	1.00	0.15	0.25	0.30	-0.05
BND	0.15	1.00	-0.10	0.10	0.05
COM	0.25	-0.10	1.00	0.20	-0.15
RE	0.30	0.10	0.20	1.00	0.00
CSH	-0.05	0.05	-0.15	0.00	1.00

Monte Carlo Simulation

Portfolio Value Distribution

5th Percentile$68,000

25th Percentile$125,000

Median$180,000

75th Percentile$265,000

95th Percentile$420,000

Probability of Loss

5.2%

Rebalancing Recommendations

Sell 5.0% of stocks

Buy 5.0% more bonds

Historical Backtest

1 Year

+12.5%

3 Years

+38.2%

5 Years

+72.8%

10 Years

+195.6%

Backtest includes:

Annual rebalancing
0.1% transaction costs
Dividend reinvestment