Portfolio Optimization
Optimal Treasury long/short weights by holding period plus the corresponding risk-return frontier and key portfolio points.
Maturities
7
3mo through 30yr
Publication Dates
12
Historical snapshots
Latest Rebalance
Dec 1, 2024
Holding Periods
5
Frontier horizons
Holding Period
All portfolio views below are filtered to the selected horizon.
Optimal Treasury Weights: 3 months
Monthly 2024 allocations across the full Treasury curve from 3mo to 30yr. Bars above zero are long positions; bars below zero are shorts.
3 months
Positive is long, negative is shortPortfolio Frontier: 3 months
Efficient and inefficient frontier arcs, capital allocation line, key portfolios, and the scenario-return random cloud.
Min Variance
0.19%
Tangency
3.89
Optimal
3.32
Portfolio Standard Deviation
Latest Optimal Weights: 3 months
Dec 1, 2024
| Holding Period | Maturity | Position | Weight |
|---|---|---|---|
| 3 months | 3mo | Long | 60.0% |
| 3 months | 6mo | Long | 60.0% |
| 3 months | 1yr | Long | 60.0% |
| 3 months | 2yr | Long | 11.0% |
| 3 months | 5yr | Short | -30.0% |
| 3 months | 10yr | Short | -30.0% |
| 3 months | 30yr | Short | -30.0% |
About This Model
The portfolio optimization app applies mean-variance optimization to Prominent Survey forecast data, computing long and short Treasury maturity weights for each publication date and holding period. The frontier view shows the risk-return tradeoff behind the optimizer, including minimum-variance, tangency, and selected optimal portfolios.