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Efficient frontier

Like the standard Markowitz presentation, the EV Asset Models’ efficient frontier describes the best risk-return tradeoff available. But unlike the Markowitz optimisation, the term structure of expected risk and return means that the efficient frontier is also term-dependent. The EV Asset Model captures this dependency, so asset allocations change with risk appetite and the investment term.

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Efficient frontier over years

The chart shows the efficient frontier relative to individual asset classes. It spans from the minimum risk portfolio to the maximum return portfolio and shows how the risk-return tradeoff varies over the range.

 
 
 
 
 

Change over quarter

Efficient frontier over years

The chart shows how the efficient frontier has moved over the past quarter.

The efficient frontier has moved upwards and rightwards on the back of the rise in rates which has boosted expected return with a smaller increase in expected risk. Maximum growth is achieved at a lower risk than the previous quarter as the bigger increases in return were for lower-risk assets.