OpenBB/website/content/terminal/reference/portfolio/po/maxret.md

title, description, keywords

title	description	keywords
maxret	The 'maxret' function is designed to maximize the return of a portfolio. It allows users to set multiple parameters and constraints like target return and risk, portfolio allocation, risk measure, and more. It supports various calculation methods and can handle various types of data.	portfolio optimization return maximization risk management financial data analysis historical data return calculation covariance estimation shrinkage method risk-free rate significance level CVaR EVaR CDaR MDD Sharp ratio

import HeadTitle from '@site/src/components/General/HeadTitle.tsx';

Maximizes the portfolio's return

Usage

maxret [-tr TARGET_RETURN] [-tk TARGET_RISK] [-m {hist,ewma1,ewma2}] [-cv {hist,ewma1,ewma2,ledoit,oas,shrunk,gl,jlogo,fixed,spectral,shrink}] [-de SMOOTHING_FACTOR_EWMA] [-vs SHORT_ALLOCATION] [-rm {MV,MAD,MSV,FLPM,SLPM,CVaR,EVaR,WR,ADD,UCI,CDaR,EDaR,MDD}] [-mt METHOD] [-ct CATEGORIES] [-p PERIOD] [-s START_PERIOD] [-e END_PERIOD] [-lr] [--freq {d,w,m}] [-mn MAX_NAN] [-th THRESHOLD_VALUE] [-r RISK_FREE] [-a SIGNIFICANCE_LEVEL] [-v LONG_ALLOCATION] [--name NAME]

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Parameters

Name	Description	Default	Optional	Choices
target_return	Constraint on minimum level of portfolio's return	-1	True	None
target_risk	Constraint on maximum level of portfolio's risk	-1	True	None
expected_return	Method used to estimate the expected return vector	hist	True	hist, ewma1, ewma2
covariance	Method used to estimate covariance matrix. Possible values are 'hist': historical method 'ewma1': exponential weighted moving average with adjust=True 'ewma2': exponential weighted moving average with adjust=False 'ledoit': Ledoit and Wolf shrinkage method 'oas': oracle shrinkage method 'shrunk': scikit-learn shrunk method 'gl': graphical lasso method 'jlogo': j-logo covariance 'fixed': takes average of eigenvalues above max Marchenko Pastour limit 'spectral': makes zero eigenvalues above max Marchenko Pastour limit 'shrink': Lopez de Prado's book shrinkage method	hist	True	hist, ewma1, ewma2, ledoit, oas, shrunk, gl, jlogo, fixed, spectral, shrink
smoothing_factor_ewma	Smoothing factor for ewma estimators	0.94	True	None
short_allocation	Amount to allocate to portfolio in short positions	0.0	True	None
risk_measure	Risk measure used to optimize the portfolio. Possible values are: 'MV' : Variance 'MAD' : Mean Absolute Deviation 'MSV' : Semi Variance (Variance of negative returns) 'FLPM' : First Lower Partial Moment 'SLPM' : Second Lower Partial Moment 'CVaR' : Conditional Value at Risk 'EVaR' : Entropic Value at Risk 'WR' : Worst Realization 'ADD' : Average Drawdown of uncompounded returns 'UCI' : Ulcer Index of uncompounded returns 'CDaR' : Conditional Drawdown at Risk of uncompounded returns 'EDaR' : Entropic Drawdown at Risk of uncompounded returns 'MDD' : Maximum Drawdown of uncompounded returns	MV	True	MV, MAD, MSV, FLPM, SLPM, CVaR, EVaR, WR, ADD, UCI, CDaR, EDaR, MDD
nan_fill_method	Method used to fill nan values in time series, by default time. Possible values are: 'linear': linear interpolation 'time': linear interpolation based on time index 'nearest': use nearest value to replace nan values 'zero': spline of zeroth order 'slinear': spline of first order 'quadratic': spline of second order 'cubic': spline of third order 'barycentric': builds a polynomial that pass for all points	time	True	linear, time, nearest, zero, slinear, quadratic, cubic, barycentric
categories	Show selected categories	ASSET_CLASS, COUNTRY, SECTOR, INDUSTRY	True	None
historic_period	Period to get yfinance data from. Possible frequency strings are: 'd': means days, for example '252d' means 252 days 'w': means weeks, for example '52w' means 52 weeks 'mo': means months, for example '12mo' means 12 months 'y': means years, for example '1y' means 1 year 'ytd': downloads data from beginning of year to today 'max': downloads all data available for each asset	3y	True	1d, 5d, 1mo, 3mo, 6mo, 1y, 2y, 5y, 10y, ytd, max
start_period	Start date to get yfinance data from. Must be in 'YYYY-MM-DD' format		True	None
end_period	End date to get yfinance data from. Must be in 'YYYY-MM-DD' format		True	None
log_returns	If use logarithmic or arithmetic returns to calculate returns	False	True	None
return_frequency	Frequency used to calculate returns. Possible values are: 'd': for daily returns 'w': for weekly returns 'm': for monthly returns	d	True	d, w, m
max_nan	Max percentage of nan values accepted per asset to be considered in the optimization process	0.05	True	None
threshold_value	Value used to replace outliers that are higher to threshold in absolute value	0.3	True	None
risk_free	Risk-free rate of borrowing/lending. The period of the risk-free rate must be annual	0.02924	True	None
significance_level	Significance level of CVaR, EVaR, CDaR and EDaR	0.05	True	None
long_allocation	Amount to allocate to portfolio	1	True	None
name	Save portfolio with personalized or default name	MAXRET_0	True	None

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Examples

[3 Years] Maximal return portfolio using
volatility as risk measure

     Weights
┏━━━━━━┳━━━━━━━━━┓
┃      ┃ Value   ┃
┡━━━━━━╇━━━━━━━━━┩
│ AAPL │  0.0 %  │
├──────┼─────────┤
│ AMZN │  0.0 %  │
├──────┼─────────┤
│ BA   │  0.0 %  │
├──────┼─────────┤
│ FB   │  0.0 %  │
├──────┼─────────┤
│ MSFT │  0.0 %  │
├──────┼─────────┤
│ T    │  0.0 %  │
├──────┼─────────┤
│ TSLA │ 100.0 % │
└──────┴─────────┘

Annual (by 252) expected return: 124.85%
Annual (by √252) volatility: 68.44%
Sharpe ratio: 1.8215

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