Hi All. Has anyone found a website that will allow Canadians to optimize their portfolio of Canadian stocks? I have been playing with the Portfolio Monkey website a bit, but it doesn't appear to have data for TSX market companies.
I want to understand whether I can ‘model’ my RRSP portfolio to optimize the weighting of different funds to produce the greatest expected return with lowest risk – make it “efficient” shall we say. The challenge I am having is as follows:
- I plan to simply hold index funds (ETFs) that track the returns of their respective market indices.
- I plan to hold the domestic market, US Market, World Market, Emerging Market (BRIC), domestic bond market and potentially a commodity index.
- I want to understand how I relate the stocks and their reference markets to one another in one view of the portfolio.
I understand CAPM when it comes to individual stocks tied to ONE market return, but how do I think about a portfolio where each stock is measured against a different market return and likely has a covariance of 1 with its specific reference market? Do I have to calculate the covariance of the markets relative to one another? Do I need some sort of blended market reference? Once I figure that part out, if I choose a specific commodity type (say consumer staples) or a company stock (say GE), would I need to calculate its impact to the expected return of the portfolio and risk to a blended portfolio market return?