TOOLS / PORTFOLIO OPTIMIZER

Free portfolio optimizer

Choose your asset classes and compare allocation weights, expected return and volatility. Try different optimization methods and explore the efficient frontier using USD reference assumptions.

FREE · NO SIGNUP · RUNS IN YOUR BROWSER

Choose a Starting Point

Select Assets & Set Constraints

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No return target, so the optimizer is free to find the best risk-adjusted portfolio.

Equities

US Large Cap
6.7% ret · 16.5% vol
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US Mid CapFree unlock
7.0% ret · 18.6% vol
US Value FactorFree unlock
7.7% ret · 17.7% vol
US Small CapFree unlock
6.9% ret · 21.1% vol
Euro Area Large CapFree unlock
7.8% ret · 22.0% vol
UK Large CapFree unlock
6.6% ret · 17.5% vol
Japanese EquityFree unlock
8.8% ret · 15.8% vol
AC Asia ex-JapanFree unlock
7.9% ret · 20.8% vol
Emerging Markets EquityFree unlock
7.8% ret · 20.9% vol
Chinese Domestic EquityFree unlock
7.7% ret · 28.7% vol
Hong Kong EquityFree unlock
7.4% ret · 21.4% vol
EAFE EquityFree unlock
7.5% ret · 17.6% vol
AC World Equity
7.0% ret · 16.8% vol
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US Large ValueFree unlock
7.3% ret · 15.0% vol
US Large GrowthFree unlock
5.2% ret · 17.3% vol
US Small ValueFree unlock
8.3% ret · 19.1% vol
US Small GrowthFree unlock
5.3% ret · 22.3% vol
Dev ex US Large ValueFree unlock
8.1% ret · 17.2% vol
Dev ex US Large GrowthFree unlock
6.7% ret · 16.2% vol
Dev ex US Small ValueFree unlock
9.6% ret · 17.1% vol
Dev ex US Small GrowthFree unlock
7.3% ret · 17.5% vol
World Large ValueFree unlock
7.4% ret · 15.1% vol
World Large GrowthFree unlock
5.2% ret · 15.8% vol
World Small ValueFree unlock
11.1% ret · 16.6% vol
World Small GrowthFree unlock
8.8% ret · 17.9% vol
EM ValueFree unlock
9.6% ret · 19.9% vol
EM GrowthFree unlock
5.2% ret · 20.2% vol

Fixed Income

US Intermediate TreasuriesFree unlock
4.0% ret · 3.5% vol
US Long TreasuriesFree unlock
4.9% ret · 13.0% vol
World Govt BondsFree unlock
4.3% ret · 7.3% vol
US IG Corporate BondsFree unlock
5.2% ret · 7.4% vol
US High Yield BondsFree unlock
6.1% ret · 8.7% vol
EM Sovereign DebtFree unlock
6.3% ret · 8.8% vol
EM Local Currency DebtFree unlock
6.7% ret · 12.1% vol
US Muni 1-15 YrFree unlock
3.8% ret · 4.2% vol
US Muni High YieldFree unlock
5.3% ret · 8.7% vol
US SecuritizedFree unlock
5.2% ret · 4.2% vol
US Short Gov/CreditFree unlock
4.0% ret · 1.6% vol
US Long Corporate BondsFree unlock
5.4% ret · 12.3% vol
World ex-US Govt BondsFree unlock
4.3% ret · 9.1% vol
EM Corporate BondsFree unlock
6.1% ret · 7.6% vol
TIPS
4.3% ret · 5.9% vol
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US Aggregate Bonds
4.8% ret · 4.8% vol
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Alternatives

US REITs
8.8% ret · 17.4% vol
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US Core Real EstateFree unlock
8.2% ret · 11.4% vol
Global InfrastructureFree unlock
6.5% ret · 10.3% vol
Listed InfrastructureFree unlock
6.1% ret · 16.9% vol
Commodities (Broad)Free unlock
4.6% ret · 18.3% vol
Gold
5.5% ret · 16.7% vol
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Diversified Hedge FundsFree unlock
5.3% ret · 5.7% vol
Private EquityFree unlock
10.2% ret · 19.8% vol
Listed Private EquityFree unlock
8.1% ret · 25.6% vol
Venture CapitalFree unlock
8.5% ret · 22.2% vol
Private Debt (Direct Lending)Free unlock
7.7% ret · 11.5% vol
Listed Private DebtFree unlock
6.3% ret · 20.2% vol
Bitcoin
15.0% ret · 42.5% vol
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Cash

Cash / Money Market
3.1% ret · 0.7% vol
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Want to include more asset classes?
Unlock all 57 asset classes and 5 methods here for free. No account required; email updates are optional.

Choose Your Goal

Optimized Portfolio

Expected Return
7.6%
Volatility
8.2%
Sharpe Ratio
0.583
Est. Max Drawdown
-20.4%

Allocation

AssetWeightReturnVolConstrain
US Aggregate Bonds64.7%4.8%4.8%
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US REITs16.4%8.8%17.4%
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Bitcoin11.6%15.0%42.5%
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Gold7.3%5.5%16.7%
-%

Set min/max constraints on any asset and the portfolio re-optimizes automatically.

Method: Maximum Sharpe. Risk-free rate: 3.1% (US Cash, JPM LTCMA 2026). Cash sat out this search: at the risk-free rate it cannot raise the Sharpe ratio, only scale the risk, so it holds only what a rule or a volatility cap called for.Max drawdown estimated as 2.5× annual volatility.

See where your portfolio sits on the efficient frontier

Visualize the full risk-return tradeoff across all feasible portfolios.

Methodology

Data source: USD reference asset assumptions based on J.P. Morgan 2026 Long-Term Capital Market Assumptions, with additional style estimates. Correlations are estimated from historical asset returns and repaired for numerical consistency. Bitcoin assumptions are Portfolio Lab estimates (15% geometric return, 42.5% volatility) informed by institutional research. Read our methodology.

Max Sharpe: Grid search over target returns along the efficient frontier, solving for minimum variance at each target. Selects the portfolio with the highest Sharpe ratio.

Min Variance: Projected gradient descent with box constraints, minimizing total portfolio variance (w'Σw).

Risk Parity: Equal Risk Contribution (ERC) via cyclical coordinate descent (Griveau-Billion et al., 2013). Each asset contributes equally to total portfolio risk.

HRP: Hierarchical Risk Parity (López de Prado, 2016). Single-linkage clustering on correlation distance, then recursive bisection weighted by inverse variance.

Black-Litterman: This public option optimizes on implied equilibrium returns (π = δΣw), without personal views. The full workstation also lets you add investor views.

Constraints: Per-asset minimum and maximum weights are available for Max Sharpe, Minimum Variance and Black-Litterman. Risk Parity and HRP do not support these limits here. All weights must sum to 100%. No leverage or short-selling.

This tool combines forward-looking return assumptions with historical risk estimates; it is not a historical backtest. Past performance does not guarantee future results. Not financial advice. Consult a qualified adviser before making investment decisions.

How to use this portfolio optimizer

  1. 1. Choose the investments to represent.

    Start with a template or select asset classes. Avoid treating overlapping global and regional equity exposures as independent holdings.

  2. 2. Compare objectives and limits.

    Compare Max Sharpe with Minimum Variance. Set per-asset weight limits where the selected method supports them, then inspect how the allocation changes.

  3. 3. Check the result beyond its return.

    Review concentration and estimated volatility. The most attractive model result can be sensitive to its assumptions. Use the workstation to explore alternatives and test withdrawals.

For example, compare a global equity, bond and cash selection with the same selection plus gold. Keep the method and limits consistent to see what adding an asset changes. Expected returns are model estimates, not promises.

Questions this page answers

What is portfolio optimization?

Portfolio optimization (portfolio optimisation in British English) searches for asset weights that meet a chosen objective, such as lower estimated volatility or a higher Sharpe ratio. The answer depends on expected returns, volatility, correlations and constraints. This calculator compares up to 57 asset classes using USD reference assumptions; it does not predict a single best portfolio for everyone.

Is this portfolio optimizer free without signing up?

Yes. Start with the available assets and methods, or use the free unlock for all 57 asset classes, all 5 methods and the efficient frontier. No account is required and email updates are optional. A free account adds the full workstation, saved portfolios and reports.

Which portfolio optimization method should I use?

Compare methods rather than assuming one is always best. Max Sharpe targets the highest estimated excess return per unit of volatility. Minimum Variance targets the lowest estimated volatility. Risk Parity balances risk contributions, while HRP groups assets by correlation. This page's Black-Litterman option uses market-implied returns without personal views; adding views is available in the full workstation. Lower volatility does not guarantee a smaller loss in every market fall.

Can I optimize my own ETFs or stocks here?

This public calculator selects asset classes, not individual fund or stock tickers. Use representative asset classes to explore an allocation, then check the holdings, fees and overlap of the investments you would use to implement it. Asset-class results are not a forecast for a particular ETF.

What does the efficient frontier show?

It plots modelled portfolios with the lowest estimated volatility at different return targets, using the selected assets and constraints. It helps show the trade-off between expected risk and return. The curve changes when assumptions or constraints change; it is not a boundary that future realised returns must follow.

What data does this optimizer use?

This page uses Portfolio Lab's USD reference asset library, based on J.P. Morgan 2026 assumptions with additional style estimates and Portfolio Lab Bitcoin inputs. Correlations come from historical return estimates, with matrix repair for numerical consistency. The full workstation offers currency-specific models and separate institutional reference choices. Read the methodology below before interpreting a result.

Keep reading

Find investments for a UK allocation →
UK ETF PICKER · EXPOSURE, COSTS AND ACCESS
The free optimizer that uses institutional data →
RESEARCH · THE SAME INPUTS, WITHOUT THE TERMINAL
How much Bitcoin should be in your portfolio? →
RESEARCH · WHAT THE OPTIMIZER SAYS, AND WHY
Portfolio Lab vs Portfolio Visualizer →
COMPARISON · WHAT EACH ONE DOES BETTER
Full methodology →
METHODOLOGY · EVERY FORMULA AND SOURCE

This page solves one portfolio. The workstation saves them, simulates them, and reports on them.

Open the workstation →