Risk/Return QC via Portfolio Optimization – Current Positions of The Dividend Breeder

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Based on the Portfolio Optimization Algorithm (POA) discussed earlier, let’s run the QC test of current positions of The Dividend Breeder in terms of the Risk/Return Ratio (RRR).

The POA input is as follows:

benchmark_ = [“^GSPC”,]
portfolio_ = [‘SCHD’, ‘O’, ‘MSFT’, ‘TGT’, ‘MCD’, ‘PFE’, ‘CSCO’, ‘USB’, ‘KO’, ‘ABBV’,
‘CVX’, ‘VZ’, ‘KMB’, ‘JPM’, ‘LYB’,’SBUX’, ‘BLK’, ‘TROW’, ‘JNJ’, ‘TXN’,’FAGIX’]

start_date_ = “2021-01-01”
end_date_ = “2022-09-28”
number_of_scenarios = 10000

The output Risk-Return 2D map is

Portfolio optimization map:
the current positions of @DividendBreeder

We can see that the Best Performer (BP) yields Return ~ 9% with Volatility ~ 0.0095 well within the accepted risk zone, whereas the market index yields Return ~ -3% with Volatility ~ 0.0115 closer to the right border of the accepted risk zone. This means that RRR(BP)<RRR(^GSPC).

The output table of portfolio distributions is

Portfolio distribution table:
the current positions of @DividendBreeder


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