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Results not same as portfoliovisualizer.com

Open hcleungca opened this issue 1 year ago • 2 comments

What are you trying to do? I'm trying to reproduce the results of optimizing two ETFs (VOO, VGLT) from portfoliovisualizer.com https://www.portfoliovisualizer.com/optimize-portfolio?s=y&sl=3bujgs9JzveGOAw5M75x7g

What have you tried? I tried to do it using PyPortfolioOpt, the colab notebook can be found here https://colab.research.google.com/drive/1MgPrnar7MxrHZR2IqWA7ovKiepDN5DHH?usp=sharing

What data are you using? I'm using data download from yahoo

** Problem ** maximizing sharpe ratio of two ETFs (VOO, VGLT) from portfoliovisualizer.com gave VOO 80.42%, VGLT 19.58% but using PyPortfolioOpt gave VOO 70.8%, VGLT 29.2%

Did I do something wrong? thanks a lot

hcleungca avatar May 08 '24 06:05 hcleungca

The difference could be due to the calculation technique for expected returns, covariance, and some other risk/return-related metrics used in the final optimization calculation. Your volatilities are different too. It is not a surprise that the final weights are different.

jokercraft avatar May 14 '24 20:05 jokercraft

Is portfoliovisualizer.com using yahoo data? I assume not as they have premium plans, would be a joke if they are not using good ones.....

ManyeeK avatar Oct 14 '24 15:10 ManyeeK