Optimize a Portfolio using Expected Shortfall (CVaR)

enisbe
Sat, 18 Apr 2020 16:09:12 +0000

From 1/2/2007:
Initial Balance= $10,000
Final Balance= $48,991 (with variable slippage)
CAGR= 12.70%
StDev= 11.03%
Best Year= 32.02% (2013)
Worst Year= -4.33% (2011)
max D/D= -17%
Sharpe= 1.06

This is interesting system George.

I used exactly the rules as you have them there but I cant quite can there. I cannot avoid the latest drawdown. Are there any other rules that you are using for this?