objective: max_sharpe
estimators: mean_historical expected returns, ledoit_wolf covariance, shrinkage 0.014
expected return 36.5122%, volatility 23.3940%, sharpe 1.56 (risk-free 0.0000%)
warning: GLD takes 51.1% of the portfolio: unconstrained mean-variance solutions concentrate; consider --max-weight
source: yfinance (adj_close)
prices are total return
currency: USD
window: 2020-01-03 → 2024-12-31
cache: hit
risk-free rate 0.0000% (0.0 fallback: no FRED key configured)
survivorship: a ticker list chosen today reflects survivors, so results over past windows are biased upward; no free source provides point-in-time constituents
in-sample: estimated on the same data it is evaluated on; see `sobres optimize backtest`
seed: 0
┏━━━━━━━┳━━━━━━━━┳━━━━━━━━━━━━━━━━━━┓
┃ticker ┃ weight ┃ risk_contribution┃
┡━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━━━━━┩
│AAPL   │ 0.0052 │            0.0042│
│MSFT   │ 0.0000 │            0.0000│
│NVDA   │ 0.3665 │            0.7715│
│JNJ    │ 0.0000 │            0.0000│
│XOM    │ 0.1172 │            0.0614│
│GLD    │ 0.5111 │            0.1628│
└───────┴────────┴──────────────────┘
For research and education only. Not investment advice.
