2024-09-07. Optimization results for Sharpe ratio, expected return and volatility for the portfolio of 25 US blue chips.
All the optimization performed with the help of the https://asset-master.net/ website.
https://optimize-portfolio.blogspot.com/2024/09/2024-09-07-optimization-results-for.html

2024-08-30. Optimization results for Sharpe ratio, expected return and volatility for the portfolio of 25 US blue chips.

https://optimize-portfolio.blogspot.com/2024/08/2024-08-30-optimization-results-for.html
All the optimization performed with the help of the https://asset-master.net/ website.

Mean historical return and volatility for a 25 blue chips for long-term and short-term time intervals.

As all of you know, the historical expected return and volatility of stock is a very important characteristics of the stock stability and profitability. Here is the comparison of these values for 25 blue chips for two historical data intervals, 11 years and 1 month. 11 years interval shows long-term
stock price tendencies, and 1 month interval exhibits stock price tendency in the near past.

This is a table for 25 blue chips and their expected return and volatility for 11 years of the historical data from 2013-01-02 to 2024-07-19 ordered by the expected return.


symbol
expected return
volatility
date from
date to
MSFT
0.271
0.266
2013-01-02
2024-07-19
AAPL
0.235
0.282
2013-01-02
2024-07-19
UNH
0.225
0.25
2013-01-02
2024-07-19
MA
0.206
0.262
2013-01-02
2024-07-19
NOC
0.175
0.234
2013-01-02
2024-07-19
HD
0.163
0.234
2013-01-02
2024-07-19
LMT
0.152
0.215
2013-01-02
2024-07-19
ABBV
0.148
0.264
2013-01-02
2024-07-19
JPM
0.144
0.261
2013-01-02
2024-07-19
AXP
0.131
0.292
2013-01-02
2024-07-19
KR
0.131
0.273
2013-01-02
2024-07-19
ORCL
0.128
0.263
2013-01-02
2024-07-19
CAT
0.121
0.282
2013-01-02
2024-07-19
GS
0.12
0.273
2013-01-02
2024-07-19
HON
0.114
0.219
2013-01-02
2024-07-19
MRK
0.106
0.21
2013-01-02
2024-07-19
WMT
0.102
0.2
2013-01-02
2024-07-19
SBUX
0.096
0.259
2013-01-02
2024-07-19
MCD
0.095
0.194
2013-01-02
2024-07-19
NKE
0.094
0.285
2013-01-02
2024-07-19
PG
0.08
0.179
2013-01-02
2024-07-19
JNJ
0.07
0.175
2013-01-02
2024-07-19
KO
0.049
0.176
2013-01-02
2024-07-19
INTC
0.038
0.32
2013-01-02
2024-07-19
CVX
0.032
0.281
2013-01-02
2024-07-19



As you can see, the leader of the table is the Microsoft stocks with their 0.271 yearly expected return and 0.266 volatility.



The next table is the same one, but for the last month of the data, from 2024-06-20 to 2024-07-19 ordered by the expected return.



symbol
expected return
volatility
date from
date to
UNH
5.984
0.357
2024-06-20
2024-07-19
KR
1.767
0.181
2024-06-20
2024-07-19
INTC
1.549
0.379
2024-06-20
2024-07-19
AAPL
1.339
0.248
2024-06-20
2024-07-19
GS
1.051
0.256
2024-06-20
2024-07-19
CAT
0.992
0.24
2024-06-20
2024-07-19
JPM
0.985
0.225
2024-06-20
2024-07-19
AXP
0.914
0.179
2024-06-20
2024-07-19
KO
0.85
0.125
2024-06-20
2024-07-19
JNJ
0.779
0.172
2024-06-20
2024-07-19
WMT
0.645
0.167
2024-06-20
2024-07-19
HD
0.417
0.264
2024-06-20
2024-07-19
LMT
0.258
0.091
2024-06-20
2024-07-19
CVX
0.222
0.185
2024-06-20
2024-07-19
MCD
0.187
0.205
2024-06-20
2024-07-19
NOC
0.105
0.115
2024-06-20
2024-07-19
HON
0.028
0.134
2024-06-20
2024-07-19
PG
0.022
0.136
2024-06-20
2024-07-19
ABBV
0.014
0.243
2024-06-20
2024-07-19
SBUX
-0.069
0.348
2024-06-20
2024-07-19
MSFT
-0.217
0.182
2024-06-20
2024-07-19
MA
-0.22
0.174
2024-06-20
2024-07-19
MRK
-0.319
0.264
2024-06-20
2024-07-19
ORCL
-0.323
0.192
2024-06-20
2024-07-19
NKE
-0.968
0.737
2024-06-20
2024-07-19



As you can see, the leader of the table for one month is the UnitedHealth Group Inc.
stocks with their prominent 5.984 yearly expected return and 0.357 volatility. It means that the UnitedHealth Group Inc. stock prices for the last month raised quite steadily.

And finally, here is the performance of the portfolio consisted of these blue chips.
Optimization were performed by maximization of the Sharpe ratio, for 11 years of historical data.


expected return
0.23
volatility
0.19
Sharpe ratio
1.08
Allocation sum
10000
Leftover
46.29

All the calculations were made with the help of the website for portfolio optimization
https://asset-master.net/
The recommended browser is Firefox.

Welcome to discuss!

Mean historical return and volatility for a 25 blue chips for long-term and short-term time intervals.

As all of you know, the historical expected return and volatility of stock is a very important characteristics of the stock stability and profitability. Here is the comparison of these values for 25 blue chips for two historical data intervals, 11 years and 1 month. 11 years interval shows long-term
stock price tendencies, and 1 month interval exhibits stock price tendency in the near past.

This is a table for 25 blue chips and their expected return and volatility for 11 years of the historical data from 2013-01-02 to 2024-06-13 ordered by the expected return.

symbol
expected return
volatility
MSFT
0.274
0.266
AAPL
0.233
0.283
UNH
0.213
0.25
MA
0.209
0.262
NOC
0.173
0.234
HD
0.16
0.234
LMT
0.149
0.216
ABBV
0.146
0.264
JPM
0.137
0.261
ORCL
0.13
0.264
KR
0.125
0.273
AXP
0.123
0.293
NKE
0.119
0.279
CAT
0.116
0.283
GS
0.113
0.274
HON
0.112
0.219
MRK
0.109
0.209
SBUX
0.098
0.258
WMT
0.097
0.201
MCD
0.095
0.194
PG
0.08
0.18
JNJ
0.065
0.175
KO
0.046
0.176
INTC
0.031
0.32
CVX
0.029
0.281

As you can see, the leader of the table is the Microsoft stocks with their 0.274 yearly expected return and 0.266 volatility.

The next table is the same one, but for the last month of the data, from 2024-05-14 to 2024-06-14 ordered by the expected return.

symbol
expected return
volatility
ORCL
3.613
0.512
AAPL
3.21
0.294
WMT
2.648
0.266
MSFT
1.001
0.177
SBUX
0.81
0.279
ABBV
0.625
0.213
HON
0.344
0.149
HD
0.235
0.219
NKE
0.077
0.163
MRK
0.075
0.174
PG
0.074
0.136
KO
-0.095
0.113
LMT
-0.197
0.144
INTC
-0.2
0.272
MA
-0.216
0.105
GS
-0.262
0.171
UNH
-0.316
0.224
JPM
-0.361
0.243
JNJ
-0.363
0.174
MCD
-0.526
0.198
CVX
-0.551
0.183
AXP
-0.56
0.17
KR
-0.655
0.124
CAT
-0.71
0.184
NOC
-0.721
0.141

As you can see, the leader of the table for one month is the Oracle stocks with their prominent 3.613 yearly expected return and 0.512 volatility. It means that the Oracle stock prices for the last month raised quite steadily.

And finally, here is the performance of the portfolio consisted of these blue chips.
Optimization were performed by maximization of the Sharpe ratio, for 11 years of historical data.

expected return
0.224
volatility
0.188
Sharpe ratio
1.063
Allocation sum
10000.00
Leftover
128.49

All the calculations were made with the help of the website for portfolio optimization
https://asset-master.net/
The recommended browser is Firefox.

Welcome to discuss!

Mean historical return and volatility for a 25 blue chips for long-term and short-term time intervals.

As all of you know, the historical expected return and volatility of stock is a very important characteristics of the stock stability and profitability. Here is the comparison of these values for 25 blue chips for two historical data intervals, 11 years and 1 month. 11 years interval shows long-term
stock price tendencies, and 1 month interval exhibits stock price tendency in the near past.

This is a table for 25 blue chips and their expected return and volatility for 11 years of the data from 2013-01-02 to 2024-05-17.



symbol
expected return
volatility

AAPL
0.221
0.282

ABBV
0.147
0.265

AXP
0.133
0.293

CAT
0.125
0.283

CVX
0.035
0.282

GS
0.118
0.274

HD
0.16
0.235

HON
0.112
0.219

INTC
0.036
0.32

JNJ
0.071
0.175

JPM
0.143
0.261

KO
0.047
0.176

KR
0.132
0.274

LMT
0.152
0.216

MA
0.214
0.263

MCD
0.102
0.194

MRK
0.112
0.209

MSFT
0.271
0.267

NKE
0.118
0.279

NOC
0.185
0.235

ORCL
0.118
0.261

PG
0.081
0.18

SBUX
0.096
0.258

UNH
0.22
0.25

WMT
0.095
0.201



As you can see, the leader of the table is the Apple stocks with their 0.221 yearly expected return
and 0.282 volatility.



The next table is the same one, but for the last month of the data, from 2024-04-17 to 2024-05-17.


symbol
expected return
volatility
AAPL
3.062
0.258
ABBV
0.162
0.21
AXP
2.499
0.268
CAT
-0.064
0.346
CVX
0.569
0.172
GS
4.366
0.165
HD
0.47
0.191
HON
1.466
0.121
INTC
-0.73
0.39
JNJ
1.129
0.192
JPM
3.362
0.137
KO
1.345
0.096
KR
-0.199
0.159
LMT
0.287
0.11
MA
0.003
0.134
MCD
0.108
0.139
MRK
0.682
0.166
MSFT
0.259
0.229
NKE
-0.278
0.193
NOC
0.571
0.19
ORCL
0.579
0.217
PG
1.126
0.084
SBUX
-0.689
0.583
UNH
1.836
0.177
WMT
1.514
0.271



As you can see, the leader of the table for one month is still the Apple stocks with their prominent 3.062 yearly expected return and 0.258 volatility. It means that the AAPL stock prices for the last month raised quite steadily.

And finally, here is the performance of the portfolio consisted of these blue chips.
Optimization were performed by maximization of the Sharpe ratio, for 11 years of historical data.


expected return of the portfolio
0.223
volatility
0.184
Sharpe ratio
1.076

All the calculations were made with the help of the website for portfolio optimization
https://asset-master.net/
The recommended browser is Firefox.

Welcome to discuss!

Mean historical return and volatility for a 25 blue chips for long-term and short-term time intervals.

As all of you know, the historical expected return and volatility of stock is a very important characteristics of the stock stability and profitability. Here is the comparison of these values for 25 blue chips for two historical data intervals, 11 years and 1 month. 11 years interval shows long-term
stock price tendencies, and 1 month interval exhibits stock price tendency in the near past.

This is a table for 25 blue chips and their expected return and volatility for 11 years of the data from 2013-01-02 to 2024-05-17.



symbol
expected return
volatility

AAPL
0.221
0.282

ABBV
0.147
0.265

AXP
0.133
0.293

CAT
0.125
0.283

CVX
0.035
0.282

GS
0.118
0.274

HD
0.16
0.235

HON
0.112
0.219

INTC
0.036
0.32

JNJ
0.071
0.175

JPM
0.143
0.261

KO
0.047
0.176

KR
0.132
0.274

LMT
0.152
0.216

MA
0.214
0.263

MCD
0.102
0.194

MRK
0.112
0.209

MSFT
0.271
0.267

NKE
0.118
0.279

NOC
0.185
0.235

ORCL
0.118
0.261

PG
0.081
0.18

SBUX
0.096
0.258

UNH
0.22
0.25

WMT
0.095
0.201



As you can see, the leader of the table is the Apple stocks with their 0.221 yearly expected return
and 0.282 volatility.



The next table is the same one, but for the last month of the data, from 2024-04-17 to 2024-05-17.


symbol
expected return
volatility
AAPL
3.062
0.258
ABBV
0.162
0.21
AXP
2.499
0.268
CAT
-0.064
0.346
CVX
0.569
0.172
GS
4.366
0.165
HD
0.47
0.191
HON
1.466
0.121
INTC
-0.73
0.39
JNJ
1.129
0.192
JPM
3.362
0.137
KO
1.345
0.096
KR
-0.199
0.159
LMT
0.287
0.11
MA
0.003
0.134
MCD
0.108
0.139
MRK
0.682
0.166
MSFT
0.259
0.229
NKE
-0.278
0.193
NOC
0.571
0.19
ORCL
0.579
0.217
PG
1.126
0.084
SBUX
-0.689
0.583
UNH
1.836
0.177
WMT
1.514
0.271



As you can see, the leader of the table for one month is still the Apple stocks with their prominent 3.062 yearly expected return and 0.258 volatility. It means that the AAPL stock prices for the last month raised quite steadily.

And finally, here is the performance of the portfolio consisted of these blue chips.
Optimization were performed by maximization of the Sharpe ratio, for 11 years of historical data.


expected return of the portfolio
0.223
volatility
0.184
Sharpe ratio
1.076

All the calculations were made with the help of the website for portfolio optimization
https://asset-master.net/
The recommended browser is Firefox.

Welcome to discuss!

Dear stockholders,

From 14, May, I hope I will begin to publish some technical data on a list of blue chips here, on my board "Blue chips investments TA"

I think I'll do it weekly. I hope that some of you will find these data helpful.
The data will include Expected Return and Volatility for the blue chips from the list for a two time periods, a short one and a long one. A short period will be some months long, a long one will be some years, so it can be useful to make some decision about the stock performance on the long run and in the neares past.

The stock list planned:

Apple
Berkshire Hathaway
Coca-Cola
Johnson & Johnson
American Express
AbbVie
Nike
Lockheed Martin
Honeywell International
Procter & Gamble
Mastercard
JPMorgan Chase
Walmart
Microsoft
Caterpillar
UnitedHealth Group
Starbucks
Oracle
Northrop Grumman
McDonald's
Home Depot
Kroger
Merck
Intel
Goldman Sachs
Chevron CVX

All the data will be acquired from https://asset-master.net/ website.

What do you think? Any questions/comments?

Thank you

Dear stockholders,

From 14, May, I hope I will begin to publish some technical data on a list of blue chips here.

I think I'll do it weekly. I hope that some of you will find these data helpful.
The data will include Expected Return and Volatility for the blue chips from the list for a two time periods, a short one and a long one. A short period will be some months long, a long one will be some years, so it can be useful to make some decision about the stock performance on the long run and in the neares past.

The stock list planned:

Apple
Berkshire Hathaway
Coca-Cola
Johnson & Johnson
American Express
AbbVie
Nike
Lockheed Martin
Honeywell International
Procter & Gamble
Mastercard
JPMorgan Chase
Walmart
Microsoft
Caterpillar
UnitedHealth Group
Starbucks
Oracle
Northrop Grumman
McDonald's
Home Depot
Kroger
Merck
Intel
Goldman Sachs
Chevron CVX

All the data will be acquired from https://asset-master.net/ website.

What do you think? Any questions/comments?

Thank you