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Efficient frontier

Portfolios by risk and return with the efficient frontier

EfficientFrontierChart plots portfolios by risk and expected return and traces the efficient frontier through the ones nothing beats: for the risk they carry, no other candidate returns more. It marks the portfolio with the best return per unit of risk, the least risky one, and — optionally — the portfolio you hold now, apart from the candidates.

EfficientFrontierChart(
  points: [
    for (final w in candidateWeights)
      PortfolioPoint(risk: w.volatility, expectedReturn: w.mean),
  ],
  riskFreeRate: 0.02,
  current: const PortfolioPoint(risk: 0.14, expectedReturn: 0.07),
  riskFormatter: (v) => '${(v * 100).toStringAsFixed(0)}%',
  returnFormatter: (v) => '${(v * 100).toStringAsFixed(0)}%',
);

The chart fills its constraints. When the height is unbounded, it uses defaultHeight.

Portfolios

Field Description
risk Volatility, or standard deviation
expectedReturn What it is expected to return, in the same period and unit
label, color, data Name, a colour of its own, and app data returned on touch

risk and expectedReturn share a unit — fractions or percentages — and a period, such as annualised.

What it marks

Mark Meaning Switch
Line through green dots The frontier: portfolios no other beats showFrontier
Diamond The best return per unit of risk above riskFreeRate showMaxSharpe
Square The least risky portfolio showMinRisk
Dashed line The capital market line, from the risk-free rate through the diamond showCapitalMarketLine
Ringed dot current, the portfolio held now pass current

Numbers

Function Description
efficientFrontierIndices(points) The frontier's indices, by rising risk
maxSharpeIndex(points, riskFree:) The best return per unit of risk, or null
minRiskIndex(points) The least risky portfolio
PortfolioPoint.sharpe(riskFree) One portfolio's return per unit of risk above the rate
frontierRange(points) The axis ranges the chart would pick

A portfolio with a number that is not finite is never on the frontier and is not drawn.

Appearance

Parameter Description
portfolioColor, frontierColor, maxSharpeColor, minRiskColor, currentColor Colours
dotRadius, markerSize, frontierWidth Sizes
showMarkerLabels, maxSharpeLabel, minRiskLabel, currentLabel Names beside the markers
showAxes, riskFormatter, returnFormatter, riskAxisTitle, returnAxisTitle Axes
gridColor, hoverBorder, backgroundColor, padding Grid, hover ring, box

Touch

onTouch reports a FrontierTouchDetails with the dot (its role, point and index) and the sharpe ratio, and null when the pointer leaves. tooltipBuilder builds a card beside the dot.

Animation

animationDuration grows the plot in; animationCurve eases it and animateOnMount controls the first build. It animates again only when the portfolios' values change.

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