Conditional Portfolio Optimization: Using machine learning to adapt capital allocations to market regimes

By Ernest Chan, Ph.D., Haoyu Fan, Ph.D., Sudarshan Sawal, and Quentin Viville, Ph.D.

Sharpe Ratio results from the Markowitz (0.31) vs CPO (0.96) method when applied to a S&P 500 portfolio.
CPO Figure 1
CPO methodology applied to a ETF
CPO Figure 2
CPO methodology applied to a private investor’s tech portfolio.
CPO Figure 3
Sharpe Ratio results from the Markowitz (0.26) vs CPO (1.0) method when applied to a cryptocurrency portfolio.
CPO Figure 4
Sharpe Ratio results from the Equal Weights (1.44) vs Markowitz (0.26) vs CPO (1.0) method when applied to a FX trading strategies portfolio
CPO Figure 5

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