The paper uses three asset indices, i.e., BOFA ML US Corporate Bond index, S&P500 and FTSE NAREIT US index to find the optimal portfolio weights under the framework of mean-variance optimization approach. The data is collected from Datastream and data range covers 1989/12 to 2015/12. By using historical 12 monthly returns as moving window range for three indices, 8 optimization approaches are adopted and their performances are compared by several risk measures like Sharpe ratio, volatility and average maximum drawdown. The equal-weighting approach dominates all other approaches in its average annual return. The minimum correlation approach has the best performance in terms of Sharpe ratio, volatility and average maximum drawing down. Besides, the REITs perform better than the other two index assets by adopting 12-month trend following strategy.
