Portfolio Composition Maps

Portfolio Composition Maps display the allocations along an efficient frontier. Each color represents a particular asset class. A vertical slice on the left of the composition map portrays the composition of a low risk portfolio.  A vertical slice on the right of the composition map portrays the composition of a high risk portfolio. The height of each asset's color segment equals that asset's portfolio weight at the risk level from which the slice is taken. Composition maps illustrate the changing portfolio make-up across the frontier.

The order of the assets in the composition map mirrors the order in the Inputs Worksheet. Sorting the assets there or in the Asset Selector changes the order in the chart.

Three varieties of Portfolio Composition Map are available in the Optimizer. All three are available on the Charts Worksheet. If you select the Portfolio Composition Option from the Chart Type drop down menu, an additional drop down menu appears. The two "Stored" options display either the optimal or investable results stored to the clipboard.

• The Optimal Portfolio Composition Map, which uses the Michaud Resampled Efficient Frontier™, always appears on the Results Worksheet beneath the Results Table.  
• The Classical Composition Map, a portfolios composition map using the classical Markowitz mean-variance efficient frontier appears directly beneath the first map. (The mean-variance composition map does not appear when long-short optimization is enabled.)  Contrast composition maps to reveal the differences in diversification between the Michaud Resampled Efficient Frontier™ and the classical efficient frontier.  
• The Investable Composition Map displays the efficient frontier after the investability constraints have been applied to the optimal efficient frontier during post-optimization.  This is often particularly interesting if you have applied strong investable thresholds and increments which can result in jumps in asset weight between adjacent frontier portfolios which appear as stairs on the investable composition map in contrast to the smooth optimal composition map.