Portfolio optimization for US equities and global indices. Compare Max Sharpe, Min Variance, Equal Weight, Inverse Volatility, Max Diversification, and Risk Parity with full metrics, equity curves, drawdowns, rolling Sharpe, returns distribution, and weights.
Methodology: US portfolio uses S&P 500 stocks (subset); global portfolio uses global equity indices (e.g. S&P 500, FTSE 100, DAX, Nikkei). Built with the skfolio library. Charts below use a subset of models; the library supports the full capability list below.
US Portfolio (US equity)
36 assets · Select a model to view metrics and plots
Risk–return (all models)
All models: cumulative returns (wealth index)
All models: drawdown % comparison
Sharpe Ratio
0.89
Volatility %
13.39%
Max Drawdown %
16.56%
Total Return %
23.65%
Sortino Ratio
1.25
Calmar Ratio
0.00
Cumulative returns (wealth index)
Drawdown %
Portfolio weights (top 20)
Rolling Sharpe ratio (21-day, annualized)
Rolling volatility (21-day, annualized %)
Daily returns distribution (%)
Global Portfolio (global indices)
20 assets · Select a model to view metrics and plots