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EFFICIENT FRONTIER - Expectation x Uncertainty - 24'Q3
REVENUE GROWTH - Historical x Estimate - 24'Q3
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EFFICIENT FRONTIER - Expectation x Uncertainty - 24'Q3

Created by
  • Jose_Henrique
Created at

Description

EFFICIENT FRONTIER is one of the most popular techniques to find good stocks to invest.
The main idea is to compound a portfolio with good expected forward return (based on past returns) with low expected volatility, that's a measure of uncertainty (also based on historical volatility).
This method is the most general in the financial market and can be used to compare all asset classes, because all financial instruments have historical price and historical returns.
Growth indicators of 5, 10, 15 and 20 Years was calculated over 1-year-variation using Geometric Mean and Volatility aslo by Geo Std Deviation.
Both indicators were aggregated in one using Simple Mean, what's similar to Weighted Average, where recent returns/variations have more weight than the old one. Because new values appears in all windows of indicators.
Negative growths were filtered to not overpopulate the chart.

Excel Spreadsheet

Download:
Efficient_Frontier.xlsx56.56KB

Technical Variables

🆔 Tickers:
•
Top 30 Most Popular ETF: SPY, DIA, QQQ, XLF, XLC, XLE, XLU, XLP, XLK, XLV, XLI, XLY, XLB, XOP, XBI, XRT, XHB, XME, XLRE, IWM, IYR, NOBL, AMLP, OIH, KRE, VNQ, ITB, KBE, IBB, SMH
•
US500 constituents
🗓️ Period: 2024-Q3
🧮 Indicators:
•
Growth: Geomean of Annual Return
•
Volatility: Std Deviat of Annual Return
•
Axes: Simple Mean of each Indicators
📐 Windows: 5Y, 10Y, 15Y, 20Y
⛔ Filters: Negative Growths (only in chart)
💿 Source: YFinance
👍
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