Define your macro factors or strategies and input their historical monthly returns (%).
Portfolio Allocation
Allocate weights (in percentage) to each factor/strategy to form your overall portfolio. Weights must sum to 100%.
Total Allocated: 0.00%
Performance Results & Optimization
Review the performance metrics for individual factors/strategies and the aggregated portfolio. Run optimization to find the minimum variance portfolio.
Individual Factor/Strategy Performance
Aggregated Portfolio Performance
Cumulative Return: 0.00%
Annualized Return: 0.00%
Annualized Volatility (Std Dev): 0.00%
Sharpe Ratio: 0.00
Maximum Drawdown: 0.00%
Optimized Portfolio (Minimum Variance)
This allocation aims to minimize portfolio risk given your input data.
