Historical MVO Portfolio Optimizer

Multi-Asset Mean-Variance Optimization

Multi-Asset MVO Portfolio Optimizer

ETFs: SPY, IWM, EFA, EWJ, VWO, GLD, TLT, EMB, CEMB, IYR  |  Data through 2026-02-25  |  10 assets

  1. This model uses mean-variance optimization (MVO), a framework developed by Harry Markowitz (1952) and extended by Robert Merton. It finds the portfolio allocation that maximizes return for a given level of risk, or minimizes risk for a given return target. Two optimized portfolios are computed: a long only portfolio (no weight constraints) and a constrained portfolio with a maximum allocation of 25% per asset. Note that MVO is a return seeking model and may not be suitable for all investors, such as pension funds or insurance companies. For more details, .
  2. This is an asset allocation model. It determines how much weight to assign to each asset class, not which individual stocks to pick. If you're interested in stock selection, .
  3. The model uses historical returns to estimate expected returns and covariances, so it will naturally concentrate in assets that had high past returns with low covariance. If you believe future returns will differ from the past or have your own capital market expectations, .
  4. A default set of 10 asset classes is pre-selected, but there is a wider list of 31 to choose from. You can check how removing or adding assets will impact the Sharpe ratio in both portfolios before applying. Be careful not to select asset classes that overlap in their underlying holdings, a warning will appear if you do. To see how overlap groups were determined, .
  5. If you have specific constraints or already hold a portfolio with certain assets, you can define the minimum and maximum allocation for each selected asset class in the interactive constraint simulator. .

Asset Class Overlap Analysis

Research based assessment of which ETFs in the 31 asset universe have significant holdings overlap or redundant factor exposure. 1. US Large Cap Cluster: SPY, QQQ, VIG • QQQ top holdings (AAPL, MSFT, NVDA, AMZN, META, GOOGL) represent ~30% of SPY • VIG (Dividend Growth) is heavily weighted to large cap US stocks that overlap SPY • Selecting all three concentrates ~60 70% of combined exposure in the same mega caps 2. Developed ex US Broad vs Country: EFA, EWJ, VGK, EWL • EFA (iShares MSCI EAFE) already contains Japan (~20%), Europe (~60%), Australia • EWJ, VGK, EWL are each subsets of EFA • Selecting EFA + country ETFs double counts those regions 3. Europe Sub Overlap: VGK, EWL • VGK tracks FTSE Developed Europe, which includes Switzerland at ~15% weight • EWL is pure Swiss equities. Selecting both means ~15% of VGK duplicates EWL 4. EM Broad vs Country: VWO, FXI, INDA, EWZ, EWY, EWT, EWW • VWO contains: China ~30%, India ~20%, Brazil ~5%, Taiwan ~18%, S. Korea ~12%, Mexico ~2% • Each country ETF is a subset of VWO. Useful for tilting, not adding alongside 5. World Index vs Everything: ACWI, SPY, EFA, VWO • ACWI = ~60% US + ~28% Dev ex US + ~12% EM • It already contains SPY, EFA, and VWO. Best used as standalone global allocation 6. Precious Metals: GLD, SLV • Both driven by real interest rates, USD, and safe haven demand • Silver has higher industrial use (~50%) vs gold (~10%), but ~0.85 correlation 7. US Corporate Bonds: HYG, LQD • HYG = high yield (junk) bonds, LQD = investment grade corporate bonds • Both are US corporate credit; ~0.75 0.85 correlation depending on regime 8. Energy / Commodities: DBC, XLE • DBC is ~55% energy (crude oil, natural gas); XLE tracks US energy companies • Both heavily driven by oil prices. Selecting both concentrates energy exposure 9. Hedge Fund Strategies: QAI, MNA • QAI = multi strategy hedge fund replication; MNA = merger arbitrage • Merger arb is one component of the multi strategy approach QAI tracks
1.919
Long-Only Max Sharpe
1.808
Constrained Max Sharpe
0.928
Long-Only Min Variance
1.135
Long-Only Max Sharpe
0.765
Constrained Max Sharpe
-0.206
Long-Only Min Variance
0.827
Long-Only Max Sharpe
0.624
Constrained Max Sharpe
0.120
Long-Only Min Variance

Asset Statistics

Click to select/deselect asset classes. Green = included in model. Minimum 3 assets.

AssetTickerAnn. Return (%)Ann. Vol (%) SharpeSkewnessKurtosisMax DD (%)
US Large CapSPY20.1215.081.1040.62319.306-19.21
US Small CapIWM12.7121.140.4370.1573.255-28.23
Dev. ex-US EquityEFA17.3914.320.973-0.03810.017-14.33
Japan EquitiesEWJ19.8517.820.919-0.1114.557-15.47
EM EquitiesVWO16.7715.260.872-0.0464.809-18.07
GoldGLD34.4618.921.638-1.17011.962-14.49
US Long BondsTLT-0.1414.65-0.246-0.0830.655-23.07
EM Govt BondsEMB9.837.490.8490.0462.294-8.04
EM Corporate BondsCEMB7.524.360.928-0.3994.085-3.88
Real EstateIYR7.4617.330.230-0.1282.495-17.87
AssetTickerAnn. Return (%)Ann. Vol (%) SharpeSkewnessKurtosisMax DD (%)
US Large CapSPY12.9716.980.5510.1408.310-26.22
US Small CapIWM4.4022.660.0350.0251.646-35.07
Dev. ex-US EquityEFA9.9115.960.3950.1025.232-30.94
Japan EquitiesEWJ8.2117.690.260-0.0123.249-34.35
EM EquitiesVWO5.0517.080.0840.1743.880-34.62
GoldGLD21.6317.181.049-0.92010.720-21.48
US Long BondsTLT-5.8815.92-0.596-0.0110.445-45.60
EM Govt BondsEMB2.389.77-0.1250.2554.172-29.43
EM Corporate BondsCEMB2.085.64-0.272-0.2837.154-20.76
Real EstateIYR5.3618.710.093-0.0512.519-36.67
AssetTickerAnn. Return (%)Ann. Vol (%) SharpeSkewnessKurtosisMax DD (%)
US Large CapSPY14.2317.910.569-0.62015.690-35.75
US Small CapIWM10.5823.040.284-0.7309.116-44.63
Dev. ex-US EquityEFA9.5517.160.321-1.18417.132-37.01
Japan EquitiesEWJ9.3317.170.308-0.5127.574-34.35
EM EquitiesVWO9.1319.190.265-0.92711.492-40.27
GoldGLD13.9615.600.636-0.6879.384-23.89
US Long BondsTLT-0.8714.91-0.3290.0205.076-51.11
EM Govt BondsEMB3.749.99-0.030-2.65242.758-29.43
EM Corporate BondsCEMB4.366.450.050-1.92334.879-21.22
Real EstateIYR6.2220.460.106-1.49024.414-45.03

Portfolio Summary

PortfolioReturn (%)Volatility (%)SharpeUS Large CapUS Small CapDev. ex-US EquityJapan EquitiesEM EquitiesGoldUS Long BondsEM Govt BondsEM Corporate BondsReal Estate
Long-Only Max Sharpe24.2410.821.91934.8%0.0%0.0%0.0%0.0%45.8%0.0%0.0%19.4%0.0%
Long-Only Min Var7.524.360.9280.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%100.0%0.0%
Constrained 25% Max Sharpe18.068.071.80825.0%0.0%0.0%0.8%0.0%25.0%0.0%24.2%25.0%0.0%
Constrained 25% Min Var13.157.481.29316.6%0.0%0.1%0.0%5.2%13.4%14.8%25.0%25.0%0.0%
PortfolioReturn (%)Volatility (%)SharpeUS Large CapUS Small CapDev. ex-US EquityJapan EquitiesEM EquitiesGoldUS Long BondsEM Govt BondsEM Corporate BondsReal Estate
Long-Only Max Sharpe18.9813.541.13530.6%0.0%0.0%0.0%0.0%69.4%0.0%0.0%0.0%0.0%
Long-Only Min Var2.455.63-0.2060.0%0.0%0.0%0.0%0.0%1.9%0.0%0.0%98.1%0.0%
Constrained 25% Max Sharpe11.6510.500.76525.0%0.0%25.0%0.0%0.0%25.0%0.0%0.0%25.0%0.0%
Constrained 25% Min Var5.558.500.2299.0%0.0%0.0%3.1%5.8%16.8%15.3%25.0%25.0%0.0%
PortfolioReturn (%)Volatility (%)SharpeUS Large CapUS Small CapDev. ex-US EquityJapan EquitiesEM EquitiesGoldUS Long BondsEM Govt BondsEM Corporate BondsReal Estate
Long-Only Max Sharpe14.0812.140.82743.4%0.0%0.0%0.0%0.0%56.6%0.0%0.0%0.0%0.0%
Long-Only Min Var4.806.330.1200.0%0.0%0.0%0.0%0.0%6.7%3.9%0.0%89.5%0.0%
Constrained 25% Max Sharpe10.4810.310.62425.0%0.0%2.4%22.6%0.0%25.0%0.0%0.0%25.0%0.0%
Constrained 25% Min Var5.727.900.2137.8%0.0%0.0%6.6%0.0%15.4%20.2%25.0%25.0%0.0%

1. Efficient Frontier

Max Sharpe ★ and Min Variance ◆ markers. Capital Market Line from Rf through tangency portfolio.

1b. Cumulative Returns

2. Long-Only vs Constrained 25% — Allocation Comparison

3. Correlation Matrix

4. Allocation vs Target Return

Stacked area: how allocation shifts as target return rises. Red dashed = Max Sharpe.

5. Interactive Constraint Simulator

Set min/max allocation per asset for the Long-Only portfolio. Click Optimize to see the custom-constrained Max Sharpe portfolio. The right panel shows the Sharpe ratio and how it compares to the unconstrained baseline.

MVO Dashboard — Generated 2026-02-26 02:04 — Data: Yahoo Finance — Rf: FRED Yield Curve

David Arias, CFA
Written and Modelled by

David Arias, CFA

Licensed portfolio manager with 4+ years of experience, specializing in emerging markets private debt, derivatives, and quantitative finance.

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