Hi, I am looking to make improvements on my Minimum Variance Portfolio strategy. The current strategy generates ~12% CAGR with 11% max drawdown between 2008-Present. I would love to crank up the Sharpe Ratio on the strat. I would also appreciate your feedback and criticisms of the validity of this strategy. Thanks!

Min-Variance Strategy Idea: 

Our universe:

  • VTI (Vanguard Total Stock Market Index Fund)
  • VXUS (Vanguard Total International Stock Index Fund)
  • VNQ (Vanguard Real Estate Index Fund Investor Shares)
  • BND (Vanguard Total Bond Market Index Fund Investor Shares)
  • GLD (SPDR Gold Trust)
  • EFA (iShares MSCI EAFE ETF Europe Australia Far East)
  • TLT (iShares 20 Plus Year Treasury Bond ETF)
  • IEF (iShares 7-10 Year Treasury Bond ETF)
  • QQQ (Tech ETF)


Choose the top 4 ETF's with the greatest returns in the past 180 trading days. Take these 4 ETF's, analyze its standard deviations and covariances of past 20 trading days, and use these values to generate the Markowitz Min-Variance Portfolio derived from MPT. 

Reanalyze and readjust the portfolio at the end of every month

GitHub Repo: 

My Jupyter Notebook on GitHub