Portafolio Ultimo A Pedido

Portfolio Visualizer Portfolio Optimization
Report Parameters
Model Historical Returns

Start Date 01/01/2013
End Date 01/31/2023
Initial Balance $10,000
Optimization Goal Mean Variance - Maximize Sharpe Ratio
Resampled Inputs Yes
Rebalancing Rebalance monthly
02/25/2023 www.portfoliovisualizer.com 1 of 20
Maximum Sharpe Ratio
Ticker Name Allocation Min. Weight Max. Weight

SPY SPDR S&P 500 ETF Trust 4.75% 0.00% 100.00%
AMZN Amazon.com, Inc. 14.89% 0.00% 100.00%
META Meta Platforms Inc 14.02% 0.00% 100.00%
QQQ Invesco QQQ Trust 10.39% 0.00% 100.00%
BRK.A Berkshire Hathaway Inc. 32.23% 0.00% 100.00%
AAPL Apple Inc. 23.72% 0.00% 100.00%
Portfolio Performance (Jan 2013 - Jan 2023)
Metric Maximum Sharpe Ratio

Start Balance $10,000
End Balance $64,313
Annualized Return (CAGR) 20.27%
Expected Return 20.25%
Standard Deviation 18.34%
Best Year 42.28%
Worst Year -27.44%
Maximum Drawdown -27.44%
Sharpe Ratio (ex-ante) 1.06
Sharpe Ratio (ex-post) 1.06
Sortino Ratio 1.86
Stock Market Correlation 0.87
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
Trailing Returns
Total Return Annualized Return Annualized Standard

Deviation
3 Month Year To Date 1 year 3 year 5 year 10 year Full
Name 3 year 5 year
Maximum Sharpe Ratio 9.48% 11.05% -17.22% 11.66% 13.12% 20.09% 20.27% 25.45% 22.78%
Trailing return and volatility are as of last full calendar month ending January 2023
Risk and Return Metrics (Jan 2013 - Jan 2023)
Metric Maximum Sharpe Ratio

Arithmetic Mean (monthly) 1.69%
Arithmetic Mean (annualized) 22.24%
Geometric Mean (monthly) 1.55%
Geometric Mean (annualized) 20.27%
Standard Deviation (monthly) 5.29%
Standard Deviation (annualized) 18.34%
Downside Deviation (monthly) 2.97%
Maximum Drawdown -27.44%
Stock Market Correlation 0.87
Beta (*) 1.05
Alpha (annualized) 6.53%
R Squared 75.94%
Sharpe Ratio 1.06
Sortino Ratio 1.86
Treynor Ratio (%) 18.56
Calmar Ratio 0.43
Active Return 7.68%
Tracking Error 9.02%
Information Ratio 0.85
Skewness -0.11
Excess Kurtosis 0.21
Historical Value-at-Risk (5%) -7.89%
Analytical Value-at-Risk (5%) -6.98%
Conditional Value-at-Risk (5%) -9.85%
Upside Capture Ratio (%) 128.01
Downside Capture Ratio (%) 98.69
Positive Periods 79 out of 121 (65.29%)
Gain/Loss Ratio 1.21
(*) US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Maximum Sharpe Ratio Returns
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Inflation Balance
2013 3.11% -0.78% 0.61% 1.41% 2.69% -2.85% 13.24% 1.25% 5.50% 5.95% 2.82% 3.69% 42.28% 1.50% $14,228
2014 -3.91% 4.37% 0.02% 1.84% 3.47% 2.19% 1.02% 7.25% -0.33% 1.07% 7.25% -2.71% 23.01% 0.76% $17,502
2015 1.40% 5.84% -1.34% 1.18% 1.92% -1.40% 6.09% -5.63% -1.98% 10.31% 0.67% -3.13% 13.65% 0.73% $19,892
2016 -4.25% -0.37% 7.83% -0.71% 2.74% -1.11% 4.99% 2.58% 1.98% -0.76% 0.81% 1.91% 16.19% 2.07% $23,113
2017 5.32% 6.22% 1.87% 1.52% 3.40% -1.20% 4.32% 3.95% -1.36% 6.54% 2.84% 0.28% 38.92% 2.11% $32,107
2018 8.13% -0.01% -5.19% 1.10% 5.74% 0.17% 2.47% 9.26% -0.74% -7.27% -2.50% -8.67% 0.74% 1.91% $32,344
2019 9.16% -0.56% 4.42% 8.12% -9.21% 8.75% 1.02% -2.59% 1.94% 5.34% 4.53% 4.41% 39.57% 2.29% $45,143
2020 2.32% -7.89% -8.22% 14.18% 3.78% 4.97% 11.97% 13.86% -6.75% -4.09% 9.72% 4.02% 40.03% 1.36% $63,214
2021 -1.49% -0.42% 4.45% 8.16% -0.35% 3.63% 1.84% 3.98% -6.09% 3.97% 2.10% 4.49% 26.26% 7.04% $79,812
2022 -2.66% -5.63% 7.26% -11.77% -3.10% -11.75% 13.43% -4.20% -9.50% 0.67% 5.50% -6.55% -27.44% 6.45% $57,915
2023 11.05% 11.05% 0.80% $64,313
Annual return for 2023 is from 01/01/2023 to 01/31/2023
Drawdowns for Historical Market Stress Periods
Stress Period Start End Maximum Sharpe Ratio

COVID-19 Start Jan 2020 Mar 2020 -15.46%
Drawdowns for Maximum Sharpe Ratio (worst 10)
Rank Start End Length Recovery By Recovery Time Underwater Period Drawdown
1 Jan 2022 Dec 2022 1 year -27.44%
2 Sep 2018 Dec 2018 4 months Apr 2019 4 months 8 months -18.04%
3 Feb 2020 Mar 2020 2 months May 2020 2 months 4 months -15.46%
4 Sep 2020 Oct 2020 2 months Dec 2020 2 months 4 months -10.57%
5 May 2019 May 2019 1 month Oct 2019 5 months 6 months -9.21%
6 Dec 2015 Feb 2016 3 months May 2016 3 months 6 months -7.59%
7 Aug 2015 Sep 2015 2 months Oct 2015 1 month 3 months -7.50%
8 Sep 2021 Sep 2021 1 month Dec 2021 3 months 4 months -6.09%
9 Feb 2018 Mar 2018 2 months May 2018 2 months 4 months -5.20%
10 Jan 2014 Jan 2014 1 month Feb 2014 1 month 2 months -3.91%
Efficient Frontier Assets (Jan 2013 - Jan 2023)
# Asset Expected Return Standard Deviation Sharpe Ratio Min. Weight Max. Weight
1 SPDR S&P 500 ETF Trust (SPY) 13.40% 14.78% 0.854 0.00% 100.00%
2 Amazon.com, Inc. (AMZN) 25.78% 31.24% 0.800 0.00% 100.00%
3 Meta Platforms Inc (META) 23.65% 36.39% 0.628 0.00% 100.00%
4 Invesco QQQ Trust (QQQ) 17.55% 17.76% 0.943 0.00% 100.00%
5 Berkshire Hathaway Inc. (BRK.A) 14.03% 17.23% 0.769 0.00% 100.00%
6 Apple Inc. (AAPL) 25.77% 28.43% 0.879 0.00% 100.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.
Efficient Frontier Points
# SPY AMZN META QQQ BRK.A AAPL Expected Return (*) Standard Deviation (*) Sharpe Ratio (*)
1 78.26% 0.13% 1.25% 0.03% 19.96% 0.38% 13.72% 14.65% 0.883
2 77.07% 0.22% 1.60% 0.13% 20.40% 0.57% 13.80% 14.67% 0.887
3 75.69% 0.35% 1.93% 0.29% 20.90% 0.85% 13.89% 14.69% 0.892
4 74.15% 0.48% 2.24% 0.51% 21.43% 1.19% 13.99% 14.72% 0.897
5 72.52% 0.64% 2.51% 0.80% 21.98% 1.54% 14.10% 14.74% 0.903
6 70.88% 0.81% 2.77% 1.11% 22.52% 1.91% 14.21% 14.77% 0.908
7 69.20% 1.00% 3.01% 1.47% 23.06% 2.27% 14.32% 14.81% 0.914
8 67.50% 1.19% 3.23% 1.85% 23.59% 2.63% 14.43% 14.84% 0.919
9 65.79% 1.39% 3.45% 2.25% 24.12% 3.00% 14.54% 14.88% 0.925
10 64.02% 1.59% 3.67% 2.68% 24.68% 3.36% 14.66% 14.92% 0.930
11 62.26% 1.79% 3.89% 3.10% 25.23% 3.73% 14.77% 14.95% 0.935
12 60.48% 2.00% 4.09% 3.53% 25.79% 4.10% 14.89% 15.00% 0.940
13 58.68% 2.22% 4.29% 3.97% 26.36% 4.48% 15.00% 15.04% 0.945
14 56.84% 2.44% 4.48% 4.44% 26.94% 4.85% 15.12% 15.08% 0.950
15 55.01% 2.66% 4.67% 4.91% 27.52% 5.23% 15.23% 15.13% 0.955
16 53.17% 2.89% 4.87% 5.39% 28.09% 5.60% 15.35% 15.17% 0.960
17 51.32% 3.11% 5.06% 5.87% 28.66% 5.98% 15.47% 15.22% 0.964
18 49.48% 3.35% 5.25% 6.34% 29.24% 6.36% 15.59% 15.27% 0.969
19 47.60% 3.58% 5.44% 6.83% 29.82% 6.74% 15.71% 15.32% 0.974
20 45.71% 3.81% 5.63% 7.33% 30.40% 7.12% 15.83% 15.38% 0.978
21 43.82% 4.05% 5.82% 7.83% 30.98% 7.50% 15.95% 15.43% 0.982
22 41.91% 4.28% 6.01% 8.34% 31.58% 7.88% 16.07% 15.49% 0.987
23 40.01% 4.52% 6.20% 8.85% 32.15% 8.27% 16.19% 15.55% 0.991
24 38.13% 4.75% 6.39% 9.35% 32.72% 8.66% 16.31% 15.60% 0.995
25 36.29% 4.99% 6.59% 9.82% 33.26% 9.05% 16.43% 15.67% 0.999
26 34.45% 5.24% 6.79% 10.28% 33.79% 9.45% 16.55% 15.73% 1.002
27 32.63% 5.48% 6.99% 10.73% 34.32% 9.86% 16.68% 15.79% 1.006
28 30.83% 5.73% 7.19% 11.15% 34.84% 10.27% 16.80% 15.86% 1.010
29 29.08% 5.98% 7.40% 11.52% 35.33% 10.68% 16.92% 15.92% 1.013
30 27.41% 6.24% 7.61% 11.85% 35.78% 11.11% 17.05% 15.99% 1.017
31 25.81% 6.50% 7.82% 12.12% 36.20% 11.54% 17.17% 16.06% 1.020
32 24.27% 6.77% 8.04% 12.35% 36.59% 11.98% 17.29% 16.13% 1.023
33 22.77% 7.04% 8.26% 12.55% 36.95% 12.43% 17.41% 16.20% 1.026
34 21.31% 7.32% 8.49% 12.73% 37.28% 12.87% 17.53% 16.27% 1.029
35 19.93% 7.61% 8.72% 12.84% 37.59% 13.33% 17.66% 16.34% 1.032
36 18.61% 7.90% 8.95% 12.93% 37.84% 13.78% 17.78% 16.42% 1.035
37 17.36% 8.19% 9.19% 13.00% 38.01% 14.24% 17.90% 16.50% 1.037
38 16.20% 8.50% 9.42% 13.05% 38.12% 14.70% 18.02% 16.57% 1.040
39 15.09% 8.81% 9.66% 13.07% 38.20% 15.17% 18.14% 16.65% 1.042
40 14.07% 9.13% 9.90% 13.06% 38.21% 15.64% 18.26% 16.73% 1.044
41 13.14% 9.45% 10.15% 13.01% 38.14% 16.11% 18.39% 16.82% 1.046
42 12.27% 9.79% 10.40% 12.90% 38.05% 16.59% 18.51% 16.90% 1.048
43 11.46% 10.14% 10.65% 12.76% 37.92% 17.08% 18.63% 16.99% 1.050
44 10.73% 10.48% 10.90% 12.62% 37.69% 17.58% 18.75% 17.08% 1.052
45 10.05% 10.82% 11.15% 12.49% 37.41% 18.08% 18.88% 17.17% 1.053
46 9.40% 11.16% 11.40% 12.37% 37.09% 18.59% 19.00% 17.26% 1.055
47 8.79% 11.51% 11.66% 12.21% 36.74% 19.09% 19.12% 17.36% 1.056
48 8.22% 11.87% 11.91% 12.04% 36.37% 19.59% 19.25% 17.46% 1.057
49 7.66% 12.23% 12.16% 11.87% 35.98% 20.10% 19.37% 17.56% 1.058
50 7.14% 12.58% 12.42% 11.72% 35.54% 20.60% 19.49% 17.66% 1.059
51 6.66% 12.95% 12.69% 11.53% 35.06% 21.10% 19.62% 17.77% 1.060
52 6.23% 13.33% 12.96% 11.33% 34.54% 21.61% 19.74% 17.87% 1.060
53 5.82% 13.70% 13.23% 11.12% 33.99% 22.13% 19.87% 17.99% 1.061
54 5.43% 14.09% 13.50% 10.90% 33.43% 22.66% 20.00% 18.10% 1.061
55 5.08% 14.49% 13.76% 10.64% 32.84% 23.19% 20.12% 18.22% 1.061
56 4.75% 14.89% 14.02% 10.39% 32.23% 23.72% 20.25% 18.34% 1.061
57 4.41% 15.29% 14.29% 10.14% 31.61% 24.25% 20.38% 18.46% 1.061
58 4.09% 15.70% 14.55% 9.90% 30.97% 24.78% 20.51% 18.58% 1.061
59 3.80% 16.11% 14.82% 9.66% 30.29% 25.31% 20.64% 18.71% 1.061
60 3.53% 16.52% 15.09% 9.43% 29.59% 25.84% 20.77% 18.84% 1.061
61 3.28% 16.92% 15.35% 9.20% 28.87% 26.37% 20.90% 18.97% 1.060
62 3.04% 17.33% 15.62% 9.00% 28.13% 26.89% 21.03% 19.10% 1.059
63 2.81% 17.73% 15.89% 8.79% 27.37% 27.42% 21.16% 19.24% 1.058
64 2.61% 18.14% 16.15% 8.56% 26.58% 27.96% 21.29% 19.38% 1.058
65 2.42% 18.55% 16.42% 8.32% 25.78% 28.51% 21.42% 19.53% 1.056
66 2.24% 18.96% 16.70% 8.06% 24.97% 29.08% 21.55% 19.67% 1.055
67 2.08% 19.37% 16.98% 7.78% 24.15% 29.64% 21.68% 19.82% 1.054
68 1.93% 19.77% 17.26% 7.50% 23.34% 30.21% 21.81% 19.97% 1.053
69 1.79% 20.17% 17.54% 7.22% 22.51% 30.77% 21.95% 20.12% 1.051
70 1.67% 20.58% 17.82% 6.94% 21.65% 31.34% 22.08% 20.28% 1.050
71 1.55% 20.99% 18.11% 6.63% 20.80% 31.92% 22.21% 20.44% 1.048
72 1.44% 21.40% 18.40% 6.32% 19.96% 32.50% 22.35% 20.60% 1.047
73 1.32% 21.81% 18.69% 5.99% 19.11% 33.07% 22.48% 20.76% 1.045
74 1.21% 22.22% 18.99% 5.67% 18.28% 33.64% 22.61% 20.92% 1.043
75 1.11% 22.63% 19.29% 5.32% 17.44% 34.21% 22.75% 21.08% 1.041
76 1.01% 23.04% 19.59% 4.98% 16.60% 34.78% 22.88% 21.25% 1.040
77 0.91% 23.45% 19.90% 4.65% 15.76% 35.32% 23.01% 21.41% 1.038
78 0.84% 23.85% 20.22% 4.30% 14.93% 35.86% 23.14% 21.58% 1.036
79 0.76% 24.25% 20.55% 3.97% 14.10% 36.37% 23.26% 21.74% 1.034
80 0.69% 24.63% 20.90% 3.64% 13.30% 36.85% 23.39% 21.90% 1.032
81 0.62% 24.99% 21.29% 3.34% 12.50% 37.26% 23.51% 22.06% 1.030
82 0.55% 25.36% 21.68% 3.05% 11.71% 37.65% 23.62% 22.22% 1.028
83 0.49% 25.75% 22.07% 2.76% 10.94% 38.00% 23.74% 22.38% 1.025
84 0.44% 26.15% 22.47% 2.47% 10.17% 38.31% 23.85% 22.54% 1.023
85 0.39% 26.56% 22.89% 2.20% 9.42% 38.55% 23.96% 22.69% 1.021
86 0.35% 26.95% 23.35% 1.93% 8.69% 38.74% 24.06% 22.84% 1.019
87 0.30% 27.33% 23.85% 1.67% 7.97% 38.87% 24.16% 22.99% 1.016
88 0.26% 27.71% 24.42% 1.44% 7.32% 38.85% 24.25% 23.14% 1.014
89 0.22% 28.18% 25.02% 1.20% 6.69% 38.68% 24.33% 23.28% 1.011
90 0.19% 28.66% 25.66% 0.98% 6.07% 38.44% 24.42% 23.42% 1.009
91 0.16% 29.12% 26.34% 0.77% 5.49% 38.12% 24.49% 23.56% 1.006
92 0.13% 29.54% 27.03% 0.60% 4.95% 37.75% 24.56% 23.69% 1.003
93 0.11% 29.98% 27.69% 0.46% 4.43% 37.34% 24.62% 23.82% 1.000
94 0.09% 30.36% 28.38% 0.33% 3.94% 36.89% 24.67% 23.95% 0.997
95 0.06% 30.79% 29.09% 0.24% 3.49% 36.33% 24.72% 24.07% 0.994
96 0.04% 31.24% 29.78% 0.16% 3.07% 35.70% 24.77% 24.19% 0.991
97 0.03% 31.62% 30.45% 0.10% 2.71% 35.10% 24.80% 24.30% 0.988
98 0.01% 32.10% 30.87% 0.05% 2.40% 34.58% 24.84% 24.38% 0.986
99 0.01% 32.68% 31.05% 0.02% 2.16% 34.08% 24.86% 24.45% 0.984
100 0.00% 33.50% 30.50% 0.00% 2.00% 34.00% 24.90% 24.48% 0.985
(*) Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.
Portfolio Components (Jan 2013 - Jan 2023)
Ticker Name CAGR Stdev Best Year Worst Year Max Drawdown Sharpe Ratio Sortino Ratio Market Correlation
SPY SPDR S&P 500 ETF Trust 13.03% 14.78% 32.31% -18.17% -23.93% 0.85 1.33 1.00
AMZN Amazon.com, Inc. 23.24% 31.24% 117.78% -49.62% -52.10% 0.80 1.45 0.61
META Meta Platforms Inc 18.62% 36.39% 105.30% -64.22% -75.44% 0.63 1.07 0.46
QQQ Invesco QQQ Trust 17.21% 17.76% 48.40% -32.58% -32.58% 0.94 1.55 0.92
BRK.A Berkshire Hathaway Inc. 13.32% 17.23% 32.70% -12.48% -23.15% 0.77 1.30 0.75
AAPL Apple Inc. 24.11% 28.43% 88.97% -26.40% -30.46% 0.88 1.50 0.63
Monthly Correlations (Jan 2013 - Jan 2023)
Ticker Name SPY AMZN META QQQ BRK.A AAPL

SPY SPDR S&P 500 ETF Trust 1.00 0.62 0.46 0.92 0.76 0.64
AMZN Amazon.com, Inc. 0.62 1.00 0.41 0.76 0.35 0.51
META Meta Platforms Inc 0.46 0.41 1.00 0.54 0.21 0.32
QQQ Invesco QQQ Trust 0.92 0.76 0.54 1.00 0.60 0.76
BRK.A Berkshire Hathaway Inc. 0.76 0.35 0.21 0.60 1.00 0.38
AAPL Apple Inc. 0.64 0.51 0.32 0.76 0.38 1.00
Portfolio Asset Performance
Total Return Annualized Return Expense Ratio

Name 3 Month Year To Date 1 year 3 year 5 year 10 year Net Gross
SPDR S&P 500 ETF Trust 5.74% 6.29% -8.18% 9.86% 9.46% 12.58% 0.09% 0.09%
Amazon.com, Inc. 0.67% 22.77% -31.05% 0.89% 7.29% 22.75%
Meta Platforms Inc 59.91% 23.79% -52.45% -9.64% -4.43% 17.00%
Invesco QQQ Trust 6.25% 10.64% -18.25% 11.04% 12.48% 17.05% 0.20% 0.20%
Berkshire Hathaway Inc. 6.28% 0.92% 0.68% 12.08% 7.90% 12.48%
Apple Inc. -5.75% 11.05% -16.97% 23.93% 29.38% 26.28%
Trailing returns as of last calendar month ending January 2023
Return Decomposition (Jan 2013 - Jan 2023)
Ticker Name Maximum Sharpe Ratio

SPY SPDR S&P 500 ETF Trust $1,827
AMZN Amazon.com, Inc. $7,613
META Meta Platforms Inc $3,697
QQQ Invesco QQQ Trust $4,798
BRK.A Berkshire Hathaway Inc. $15,176
AAPL Apple Inc. $21,202
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.
Risk Decomposition (Jan 2013 - Jan 2023)
Ticker Name Maximum Sharpe Ratio

SPY SPDR S&P 500 ETF Trust 3.38%
AMZN Amazon.com, Inc. 19.26%
META Meta Platforms Inc 17.70%
QQQ Invesco QQQ Trust 9.47%
BRK.A Berkshire Hathaway Inc. 20.62%
AAPL Apple Inc. 29.57%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.
Rolling Returns (Jan 2013 - Jan 2023)
Roll Period Average High Low

1 year 22.49% 65.87% -27.44%
3 years 22.32% 35.13% 8.66%
5 years 22.43% 28.51% 12.52%
7 years 22.32% 26.51% 16.31%
10 years 19.64% 20.09% 19.20%
Notes:
• IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and
are not guarantees of future results. Results may vary with each use and over time.
• The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
• Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
• Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
• Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
• The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
• Refer to the related documentation sections for more details on terms and definitions , methodology , and data sources.
• Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected
objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as
inputs. Optimization results are not guarantees of future performance.
• The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
• Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
• The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted
by cashflows. If there are no external cashflows, TWRR will equal CAGR.
• The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash
outflows.
• Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around
the mean.
• Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess
return, and the displayed value is annualized.
• Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those
excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
• Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
• Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on
monthly returns.
• Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
• Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative
returns that hurt the portfolio performance.
• Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the
correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
• Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative
returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
• Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and
have heavy or fat tails.
• A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss
from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
• Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at
Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
• Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average
between the value at risk and losses exceeding the value at risk.
• Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market
benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
• Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark
return.
• Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
• Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
• Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
• Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark
when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that
the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is
less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is
calculated analogously.
• All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
• Monte Carlo method was used to resample the efficient frontier inputs to mitigate the impact of input estimation errors.
• The annual results for 2023 are based on full calendar months from January to January.
• The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

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Portafolio Ultimo A Pedido

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Portfolio Visualizer Portfolio Optimization

Model Historical Returns

Maximum Sharpe Ratio

Ticker Name Allocation Min. Weight Max. Weight

Portfolio Performance (Jan 2013 - Jan 2023)

Metric Maximum Sharpe Ratio

Total Return Annualized Return Annualized Standard

Risk and Return Metrics (Jan 2013 - Jan 2023)

Metric Maximum Sharpe Ratio

Maximum Sharpe Ratio Returns

Drawdowns for Historical Market Stress Periods

Stress Period Start End Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)

Efficient Frontier Assets (Jan 2013 - Jan 2023)

Efficient Frontier Points

Portfolio Components (Jan 2013 - Jan 2023)

Monthly Correlations (Jan 2013 - Jan 2023)

Ticker Name SPY AMZN META QQQ BRK.A AAPL

Portfolio Asset Performance

Total Return Annualized Return Expense Ratio

Return Decomposition (Jan 2013 - Jan 2023)

Ticker Name Maximum Sharpe Ratio

Risk Decomposition (Jan 2013 - Jan 2023)

Ticker Name Maximum Sharpe Ratio

Rolling Returns (Jan 2013 - Jan 2023)

Roll Period Average High Low

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