Data Pages
Advanced users may desire to see all the numbers behind the optimization solution displayed on the Results and Charts Worksheets. Access the additional worksheets that contain this data by selecting the Show Data Pages option in the Display Menu. Two additional worksheet tabs appear.
The wksChartData Worksheet shows the numbers used to produce the charts on the Results and Charts Worksheets. The opOutput Worksheet contains a table with one column for each of the selectable optimal portfolios on the Michaud Resampled Efficient Frontier™. The chart below explains how each of the row headings corresponds to results from the Optimizer.
|
Row |
Description |
Comment |
|
3 |
N (maxAssets) |
number of assets in the optimization problem |
|
4 |
optimalPortfolioMean |
resampled portfolio expected return |
|
5 |
optimalPortfolioStdev |
resampled portfolio expected standard deviation |
|
6 |
multiPeriodMean |
resampled efficient frontier multi-period mean of input horizon |
|
7 |
optimalPortfolioYield |
yield of the efficient frontier portfolios |
|
8 |
optimalPortfolioSkew |
skew of the efficient frontier portfolios |
|
9 |
optimalPortfolioKurtosis |
kurtosis of the efficient frontier portfolios |
|
10 |
classicalMean |
traditional MV portfolio expected return |
|
11 |
classicalStdev |
traditional MV portfolio expected standard deviation |
|
12 |
classicalYield |
traditional MV portfolio expected yield |
|
13 |
classicalSkew |
traditional MV portfolio skew |
|
14 |
classical Kurtosis |
traditional MV portfolio kurtosis |
|
15 |
postOptimizePortfolioMean |
expected return of the post-optimized portfolios |
|
16 |
postOptimizePortfolioStdev |
expected standard deviation of the post-optimized portfolios |
|
17 |
postOptimizePortfolioYield |
expected yield of the post-optimized portfolios |
|
18 |
postOptimizePortfolioSkew |
expected skew of the post-optimized portfolios |
|
19 |
postOptimizePortfolioKurtosis |
expected kurtosis of the post-optimized portfolios |
|
20-219 |
optimalPortfolio |
resampled portfolio weights |
|
220-419 |
investablePortfolio |
post-optimize portfolio weights |
|
420-619 |
classicalPortfolio |
mean variance portfolio weights |
|
619-819 |
optimalPortfolioRangeLow |
portfolio weights at the lower percentile bound |
|
820-1019 |
optimalPortfolioRangeHigh |
portfolio weights at the higher percentile bound |
|
1020-1219 |
optimalPortfolioRiskContribution |
each asset's contribution to the optimal portfolio's risk |
|
1220-1419 |
postOptimizePortfolioRiskContribution |
each asset's contribution to the investable portfolio's risk |
|
1420-1619 |
longPortfolios |
resampled efficient portfolio weights greater than and equal to zero |
|
1620-1819 |
shortPortfolios |
resampled efficient portfolio weights less than zero |
|
1820-2019 |
asset Mean Stdev SelectionFlag Correlation |
information for each asset (mean, stdev, selection, name, correlation) |
|
2020 |
outputReferencePortfolioNames |
names of reference portfolios including the initial portfolio |
|
2021 |
outputReferencePortfolioDates | reference portfolio dates |
|
2022 |
referencePortfolioCalcMean |
derived expected return of initial and reference portfolios |
|
2023 |
referencePortfolioCalcStdev |
derived expected standard deviation of initial and reference portfolios |
|
2024 |
referencePortfolioYield |
derived yield of the reference portfolios |
|
2027-2226 |
referencePortfolioWeights |
initial and reference portfolio weights |
|
2227-2426 |
referencePortfolioRiskContribution |
each asset's contribution to the reference portfolio's risk |
|
2427 |
initialPortfoliorebalanceProbability |
rebalance probability relative to the initial |
|
2428-2527 |
rebalanceProbability |
rebalance probability for reference portfolios |
|
2528-2727 |
optimalPortfolioStdError |
standard error of the optimal portfolios |
|
2728 |
lotOptimalShares |
pertains to tax lots |
The in-sample and out-of-sample results for the Simulator start at line 3729.