Assortment: Portfolio Optimization
Mean-Variance Optimized Weights
| Asset Class | Target Weight | Current Weight | Drift |
|---|---|---|---|
| Equities (StatArb) | 45.0% | 45.2% | 0.2% |
| VIX Futures | 15.0% | 13.5% | -1.5% |
| Asset Class | Target Weight | Current Weight | Drift |
|---|---|---|---|
| Equities (StatArb) | 45.0% | 45.2% | 0.2% |
| VIX Futures | 15.0% | 13.5% | -1.5% |