• You can optimize an overlay onto a core portfolio for different rebalancing, return, and risk horizons.

• You can examine the optimal overlay allocations for different definitions of risk such as Vol, VaR, Expected Shortfall, and the overlay’s Tracking Error.

Hedging Investment Opportunity Set Shifts

• If you want to hedge against potential shifts in the efficient set of portfolios, what are the hedging portfolios?

• You are sufficiently content with your incumbent portfolio, but want to tweak the asset allocations in response to short run changes in your assessment of the markets’ return-risk characteristics.

• You want to do this without a new capital infusion.

• You want to do this without a wholesale transition to a new portfolio and you may want to include new asset classes or their subclasses.

Optimizing an Inefficient Core Portfolio

• You want to optimize the overlay such that the resulting expected return and risk for the entire portfolio is optimal.

• You want to optimize a portfolio's transition weights over the transition period, subject to cost reducing constraints.

• You want to avoid net short positions in the asset classes.

• You want to limit the amount of total risk added by the overlay to the underlying core portfolio.

• You want to restrict some of the allocations such as illiquid alternatives.

• You want to perform scenario generation and stress testing on the optimal overlays with stressed parameters.

Alpha Considerations

• You want to investigate the weight changes when you include the Alphas and Tracking Errors in the expected returns and Vols of the overlay assets compared to the core portfolio.

Absolute Return Optimization

• with tail risk constraints

• considers short costs

• hedged and self-financing positions

• leverage

• alpha transport from core to benchmark

• User Inputs are either directly entered, importable, or pasteable from Excel® and are editable on screen.

• User Inputs are either directly entered, importable, or pasteable from Excel® and are editable on screen.

• Output Reports and Charts are transportable to Excel® or Adobe® files with a button click.