As long as I was on a roll in R...

I rewrote my mean-variance mapper/plaything in R, too.  That's it for R before Xmas.

This chart is: a 2 asset (SPY AGG) EF and a 5 asset (SPY AGG EFA IYR GLD) EF from Jan. 2014 to today.  The green dot is my trading strategy (or, more accurately, systematic alt-risk "investing") over the same time frame.  A few hours of coding now saved me a few hours of monkeying around in excel each month to generate the same thing...  A fair trade-off if one assumes that generating this in the first place is a meaningful and worthwhile effort.