# Canadian F-Series Mutual Fund Frontier Methodology

## Source

- Fund universe source: Fund Library mutual fund search for `Series F`, `instrumentType=Mutual Fund`, `pageSize=100`.
- Detail-page fields used: fund category, NAV date, monthly growth series, annualized key-ratio table.
- Fund Library states that its fund and ETF data comes from Fundata Canada. Data was pulled on 2026-07-04.

## Universe Counts

- Search rows read: 4,592 across 46 pages.
- Standard CAD Series F rows with displayed 3/5/10-year returns: 1,261 detail-page candidates.
- Funds with complete 120 monthly returns ending 2026-05-31: 1,246.
- Funds in final constrained optimizer universe: 236.
- Efficient-frontier points requested: 101 per profile.
- Efficient-frontier points solved: 505.

```
frontier_profile
Aggressive Growth    101
Balanced             101
Conservative         101
Growth               101
Very Conservative    101
```

## Filters

- Included Canadian mutual fund rows whose names indicate exact standard CAD Series F / F Series / Class F naming.
- Excluded U$/US$/USD versions and Series F variants such as F5, F8, FT5, FV, and FD to avoid distribution or fee-class clones.
- Excluded U.S. money-market rows to avoid mixing USD cash-like funds into CAD portfolio risk.
- Required a complete 10-year monthly growth series so the optimizer can combine 3-, 5-, and 10-year return and covariance windows.
- Applied a near-duplicate strategy screen before optimization, removing same-category Fund/Class or similar clones when normalized strategy names were highly similar.

## Return And Risk Model

- Monthly total-return observations are calculated from Fund Library growth-series values.
- Expected return for each fund is the equal-weight average of 3-, 5-, and 10-year geometric annual returns.
- Portfolio covariance is the equal-weight average of 3-, 5-, and 10-year annualized monthly covariance matrices.
- Applied 15% diagonal shrinkage to the combined covariance matrix to reduce overfitting from a large fund universe and limited history.
- Sharpe ratios use a 3% annual risk-free-rate assumption for ranking only; frontier optimization itself uses return and covariance.

## Optimization Constraints

- Long-only weights.
- Maximum fund weight: 12%.
- Maximum CIFSC category weight: 35%.
- Profile portfolios are selected from solved minimum-variance frontier points closest to profile target annualized volatility levels.
- Very Conservative: target volatility 3.5%; minimum defensive 65%; maximum equity-like 35%; maximum real assets/resources 5%; maximum alternatives 10%.
- Conservative: target volatility 5.0%; minimum defensive 50%; maximum equity-like 50%; maximum real assets/resources 10%; maximum alternatives 12%.
- Balanced: target volatility 6.5%; minimum defensive 35%; maximum equity-like 65%; maximum real assets/resources 15%; maximum alternatives 15%.
- Growth: target volatility 9.5%; minimum defensive 15%; maximum equity-like 85%; maximum real assets/resources 20%; maximum alternatives 15%.
- Aggressive Growth: target volatility 13.0%; minimum defensive 0%; maximum equity-like 100%; maximum real assets/resources 30%; maximum alternatives 20%.

## Fund Codes

- The portfolio weights CSV includes `fund_code`, parsed from the Fund Library detail-page Fund Codes table when available.
- `fund_id` remains the Fund Library detail-page identifier.

## Profile Metrics

```
          profile  frontier_profile frontier_point  combined_return_pct  combined_volatility_pct  combined_sharpe_rf_3pct  target_return_pct  nonzero_holdings
Very Conservative Very Conservative    frontier_00             9.480739                 3.629422                 1.785612           9.480739                12
     Conservative      Conservative    frontier_34            13.952375                 4.975446                 2.201285          13.952375                20
         Balanced          Balanced    frontier_53            17.520606                 6.466920                 2.245366          17.520606                20
           Growth            Growth    frontier_79            23.187313                 9.446784                 2.136951          23.187313                17
Aggressive Growth Aggressive Growth    frontier_96            28.175120                12.888585                 1.953288          28.175120                13
```