I'm building a portfolio optimization tool

Two years ago, I opened a brokerage account for the first time.

I was very excited and perplex at the same time. How could I perform better than the average? I felt I was missing so much information to be able to make wise investment decisions.

So I started reading about portfolios management. Surprisingly, I found it captivating.

Instead of copying popular portfolio recipes, I wanted to fully understand the mathematical concepts and test the strategies myself. I started playing on Excel and naturally moved to programming languages when it became more complex.

Quickly, I thought the web app I was building for myself could be used by others. At this point, I started thinking about the UI.

Screenshot of the portfolio optimization tool

I love working on this project because it combines knowledge in multiple fields I’m interested in: finance, statistics, web development and design. Even if I never publish it, I’m learning so much that it’s time well spent.

What does the tool do?

It basically applies the Modern Portfolio Theory to assemble a portfolio of assets where the expected return is maximized for a given level of risk.

  • Pulls historical data from NYSE and NASDAQ
  • Calculates returns & standard deviations for each asset
  • Calculates the correlations between the assets
  • Calculates returns & standard deviations for a generated list of portfolios
  • Draws Markowitz’s efficient frontier

My current focus is to introduce a risk-free rate, draw the capital allocation line and calculate Sharpe ratios.

This new project is also the occasion to try a new technology stack. The app uses Vue.js on the top of a static website hosted with Netlify. It will use Firebase to manage the few tasks that need backend infrastructure.

When will it be ready?

I expect to publish a decent version in a few weeks. I will share it first on Twitter and Facebook.

In the meantime, I would be happy to have people with knowledge in finance test it. Ping me if you are interested!