I am reaching out to share a structured research output focused on FTSE 100 portfolio construction using a quantitative framework.
The work applies mean-variance optimization across all major FTSE 100 sectors using monthly data from January 2021 to September 2025. It evaluates three allocation strategies for each sector:
* Maximum Sharpe Ratio (risk-adjusted efficiency)
* Minimum Variance (capital preservation)
* Maximum Expected Return (growth optimization)
The objective is not theoretical exposition, but practical allocation guidance—demonstrating how capital can be deployed across large-cap UK equities under different risk mandates.
Key outputs include:
* Sector-level allocation models with fully invested portfolios
* Comparative risk-return profiles across 11 economic sectors
* Identification of top-tier vs underperforming sectors based on Sharpe efficiency
* Integrated analysis of volatility, beta, and diversification effects
The analysis may be relevant for internal benchmarking, independent validation of allocation strategies, or as a supplementary perspective on UK large-cap exposure.
If of interest, the full report is available here:
https://robertg71.gumroad.c ...
I would also be available to discuss tailored portfolio construction or further analytical extensions if required.
Kind regards,
Robert George
Bobstats Consulting,
C/O High Yields Investment Company Ltd.