Results Worksheet
Optimization results appear in the table on the Results Worksheet. The Optimizer calculates the Michaud Resampled Efficient Frontier as a numbered set of separate optimal portfolios, where 1 represents the minimum risk portfolio. (The total number of portfolios on the frontier can be adjusted through the Options Menu.) The default version of the Optimal Portfolios Section of the Results Table displays six of these optimal portfolios, moving up the efficient frontier in equally-spaced increments of expected return, frontier arc length, or standard deviation as possible, depending on what is selected in the Options Menu. These representative portfolios permit you to review the return, risk, information ratio, yield (if entered), and rebalance probability for portfolios along the efficient frontier in order to narrow down the range of optimal portfolios that best meet your needs. Focus return, standard deviation, or rank by selecting the appropriate radio button to the left, which copies that particular row immediately beneath the header for easier review. Use the slider in the Selected Column to obtain information about one of the other portfolios on the efficient frontier.
Results Table
Choose representative portfolios other than the six that automatically appear by entering either a return, standard deviation or rank (depending on which is currently selected in the radio buttons to the left) in the header row. The portfolio closest to that return, standard deviation, or rank populates that representative portfolio column. Use this function to display particular optimal portfolios that match your purposes. If you choose to save a model portfolio set for use in LifeCycle, the Save Window picks up your selections here as the best guess at the six portfolios you're interested in.
Note also that the filter provides a more sophisticated algorithm for choosing frontier portfolios based on more advanced criteria.
The Results Table provides the portfolio weights, expected return of the portfolio, expected risk of the portfolio, portfolio yield, rebalance probabilities, and information ratios calculated during the optimization process for each of the optimal portfolios. The Totals row confirms that each portfolio's allocations total 100%. If you excluded an asset from the investment universe after optimizing, these totals may not equal 100%. The Optimizer also presents the initial portfolio weights, each asset's risk and return estimates, tax method, number of simulations (both requested and actually performed), and forecast confidence level on the sides and beneath the optimal portfolio data as tools for evaluating the optimization results. The Efficient Frontier Chart above the Results Table contains much of the same information in a more visual form.
Two standard deviation rows with percentile bounds populate if you have selected the confidence intervals option in the Charts Menu.
The View Optimal and View Investable buttons switch the Results Table between optimization and post-optimization results. A blue background indicates investable portfolios.
The Results Worksheet also displays Portfolio Composition Maps according to your selections in the Charts Section of the Display Menu. Additional charts illustrate the results on the Charts Worksheet.
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