Portfolio Optimization

Financial asset & business capital weighting optimization

• Simple and intuitive data input with flexible options accompanied by available help information.
• Input for the number of units held for up to 100 investment products or business streams drives automatic current weighting calculation.
• Minimum and maximum weighting constraints can be specified for each asset for the optimized portfolio to reflect obligations and capital allocation restrictions.
• An option is provided to maintain at least the current portfolio return level to ensure that return is not deteriorated based on changes in risk in the optimized portfolio.
• The correlation matrix and portfolio dynamics calculated from the historical input data can be modified before running the optimization process. This allows for assumptions on future trends and relationships to be accounted for in the optimal portfolio.
• Portfolio risk can be calculated as overall volatility under the Sharpe ratio, downside risk below the average return under Sortino ratio or semi-deviation below a target return under the Sortino ratio.
• The comparison between the current and optimized portfolio is displayed graphically as well as unit buy and sell quantities required for each investment.
• A target return can be specified for which probability of achieving is calculated and displayed using Monte Carlo analysis.
• The portfolio optimization process progress is displayed as calculations are made and underlying analysis created for the final report.
• A free and open source Excel solution is provided to download market data and security prices that can be copied directly into the portfolio optimization template. The market data solution also provides detailed return analysis to compare securities or securities and base indices.