Portfolio Optimizer
Mean-Variance Optimization using Modern Portfolio Theory
What is Portfolio Optimization?
Portfolio optimization uses Modern Portfolio Theory (MPT) to find the ideal asset allocation that maximizes expected return for a given level of risk. This tool analyzes historical covariance between assets to construct an efficient portfolio.
Global Stocks
Foreign stock returns are automatically converted to USD using daily exchange rates. Examples: MC.PA (France), SAP.XETRA (Germany), SHEL.LSE (UK)
Limits
- Max 200 tickers per optimization
- 60 optimizations per hour
- Data lookback: 1-5 years
Step 1: Select Portfolio
Long Universe
Short/Hedge (Optional)
Step 2: Configure Portfolio
Step 3: Set Parameters
Optimizations remaining: 60
How It Works
The optimizer calculates the covariance matrix of your selected assets using historical returns, then finds the portfolio weights that maximize the Sharpe ratio (risk-adjusted return).
Risk vs Return
By combining assets with low correlation, diversification reduces portfolio risk without sacrificing expected returns. The efficient frontier shows all optimal portfolios.
Constraints
Min/max weight constraints let you control position sizes. This prevents over-concentration and ensures diversification according to your preferences.