Abstract
This paper provides a deep analysis of ten globally diversified portfolios, composed of different financial instruments: bonds, shares, ETF’s, commodities, indexes, currencies, constructed applying various optimization techniques. Statistical moments, such as mean, standard deviation, kurtosis and skewness of portfolios are compared and discussed. Moreover, performance of the portfolios within the time horizon of one year estimating Sharpe ratio, Treynor ratio, Sortino ratio is presented. Furthermore, a risk analysis of created portfolios is evaluated in terms of historical VaR and CVaR applying confidence interval 95%. The main results of this paper reveal that the portfolio, which is optimized to minimize VaR produces high expected shortfall. Secondly, the Risk Parity portfolio, despite reducing volatility, has delivered the highest kurtosis of the return, which may indicate the possible tail loss. Furthermore, the maximum Sharpe ratio portfolio has delivered extremely high kurtosis in comparison with the kurtosis of the other portfolios. Finally, it is observed that for the Naïve diversification portfolio it has been typical to have the highest downside deviation. 
Highlights
For a great majority of people, the idea of negative interest rate, which can be defined as a commitment to pay a bank in order to store your funds, may seem rather inconceivable
It is interesting to highlight, comparing Maximum Sharpe ratio portfolios, that the one which is based on the Monte Carlo simulation optimization technique, has more than two times lower Sortino ratio than the same portfolio based on the quadratic optimization technique
Analyzing the obtained results of Treynor ratio, it has been noticed that the Minimum CVaR portfolio has the highest value of Treynor ratio, which can be interpreted as this portfolio has the best risk-adjusted return in comparison to return of the other constructed portfolios
Summary
It is worth highlighting that the commodities market became extremely fragile in comparison with other sectors, because of the supply and demand disturbance. Oil prices encountered the lowest performance ever, having declined by two-thirds since January and are due to fall during 2020 among other industrial commodities, such as copper, zinc and metals (Special Focus, 2020). It is important to emphasize that some investors believe that gold has a negative correlation with interest rates. Gold is considered to be safe-haven investment, especially during an ambiguous economic situation. Nassim Nicolas Taleb considers gold to be a robust asset. Targets of investors vary in terms of their risk tolerance. The risk of each constructed portfolio will be evaluated in terms of VaR and CVaR in order to hedge the possible losses
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