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Text Area - Product

The ALMOptimizer®

Product Features and Tour

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Text Area - The software is a true Portfolio Optimizer

• The ALMOptimizer® is a true Portfolio Optimizer with lognormal asset returns and user specified: return or surplus optimization; optimization, risk, and rebalancing horizons; volatility, expected shortfall, and two value at risk (VaR) risk variables tailored to the risk horizon; and user specified portfolio constraints including risk budget constraints.
  
  
• Overlay Optimization onto a core portfolio is available as are long/short extension portfolio optimizations and market neutral optimizations.
  
  
• Special Optimizations accommodate the situation when noisy sample data is used as the optimization inputs. These optimizations range from simple 1/N allocations to our proprietary nearly unbiased estimation and allocations. The special optimization module adjusts for the well-known and large bias that occurs when historical data is used.
  
  
• Scenarios are subsequently generated with constant asset parameters or with changing asset parameters that are driven by country specific empirical Treasury yield and inflation processes. The Scenario Generator may be used independently to perform Monte Carlo return and surplus simulations on any optimized or custom portfolios and with normal or stressed parameters.
  
  
• Allowance for the costs of short positions is accommodated.in all optimizations.
  
  
• The surplus optimization option facilitates Liability Driven Investment objectives and the Risk Budget constraints permit limiting individual asset’s risk contributions.

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Text Area - Underlying Principles

• internal consistency of all calculations with respect to user inputs, horizons, risk measures, and optimizing variables
• transparent computations available in a comprehensive e-manual
• more realistic modeling of real-life portfolios with flexible rebalancing horizons
• efficient portfolios that accommodate long run return objectives but aversion to short run risk with flexible and different return and risk horizons
• true optimization over two VaR or Expected Shortfall risk variables accounts for non-normal skew and peakedness
• up-to-date technology
• accommodation of real institutional settings with almost no limitations on the type or number of restrictions on optimized portfolios, including risk budgets
• identification of the limiting efficient max and min risk portfolios with a flexible number of efficient portfolios in between
• recognition of Liability Driven Investment objectives facilitated by surplus ratio optimization with user specified starting surplus ratio
• permits annual comparisons with benchmarks and incumbents with stand alone scenario generation for efficient portfolios or any custom portfolios
• more realistic scenario generation recognizes the predictability of future interest and inflation rates identified from the actual market
• informative statistics including conditional expected loss and cumulative probability distributions for variables like horizon return and surplus ratio