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: