2.3 Set up your first strategy: Portfolio Optimisation
Portfolio optimization helps you find the best possible portfolio based on your objectives (e.g. maximum Sharpe Ratio) and constraints.
① Define your assets and constraints
Start by entering tickers such as AAPL, MSFT, or VTI and their allocations. You can enter up to 25 assets.
- You can lock weights using the 🔒 icon.
- Remove rows via the 🗑 button.
- Use the “Autofix Allocation” dropdown to:
- Evenly distribute weights across all tickers
- Scale current values up to 100 %
- Automatically fill missing weights
- Define min/max weights via Asset Constraints (e.g. Apple must be at least 10 %, max. 20 %)
- Define Group Constraints (e.g. Tech stocks max. 50 %)
You can also enable:
- Custom Expected Returns: Set your own return assumptions
- Custom Volatility: Provide your own volatility values
Both fields are optional and help you reflect more advanced expectations.
② Set timeframe and benchmark
Under “Options,” choose the backtest period.
You can go back 1, 3, 5, 10, 20, or 30+ years, or define custom start and end dates.
The default benchmark is SPY, but you can select alternatives like VT, VXUS, or QQQ.
③ Rebalancing frequency
Select how often you want the optimized portfolio to be rebalanced: monthly, quarterly, semiannually, or annually.
No cashflow simulation is available here.
④ Advanced settings
- Risk-Free Rate: Used for Sharpe Ratio and other metrics (e.g. 2.5 %)
- Reinvest Dividends: Enabled by default
- Fill Missing Price Data: Fills small gaps in historical price series
No Monte Carlo simulation is available here
⑤ Optimization models
Choose how the optimizer should estimate returns and risk:
- Return Estimation Methods: Sample Mean, EW Mean, Trimmed Mean, CAPM, etc.
- Covariance Estimation Methods: Sample Cov, Semi-Cov, Ledoit-Wolf, Shrinkage, MAD, etc.
These affect how conservative or aggressive the optimization behaves.
⑥ Compare with another portfolio
Click “Add Portfolio” to add a second strategy.
You can then compare both side by side with your chosen benchmark.
When ready, click Submit to run the analysis.