okama.EfficientFrontierReb.global_max_return_portfolio

property EfficientFrontierReb.global_max_return_portfolio

Find a portfolio with global max CAGR.

Compound annual growth rate (CAGR) is the rate of return that would be required for an investment to grow from its initial to its final value, assuming all incomes were reinvested.

The objective function is Accumulated return for rebalanced portfolio time series for the period from ‘first_date’ to ‘last_date’.

Returns:

dict

Weights of assets, CAGR, annualized risk, monthly risk.

Examples

>>> frontier = ok.EfficientFrontierReb(['SPY.US', 'AGG.US'])
>>> frontier.global_max_return_portfolio
{'Weights': array([1., 0.]), 'CAGR': 0.10797159166196812, 'Risk': 0.1583011735798155, 'Risk_monthly': 0.0410282468594492}