Portfolio Optimization

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The ALM Optimizer

Product Features and Tour

The software will facilitate your solutions to the following topics and questions.

Portfolio Optimization Module

Alpha Effects

What are the changes in weight allocations, risk, and return from incorporating alphas into your expected return estimates?

Allocation Weights Sensitivity

What are the allocation weight differences between efficient portfolios based on VaR versus Vol optimizations?

What are the allocation weight differences between efficient portfolios based on 1-year versus longer horizon optimizations?

If you prefer a long run optimization horizon for returns but a shorter horizon for risk, how does this affect the composition of efficient portfolios?

How sensitive are the optimization results to the expected returns, Vols, or correlations inputs, particularly as they change in different market regimes?

Equivalent Risk or Return Portfolios

What is the composition and expected return of an efficient portfolio with the same VaR or Vol risk as your existing portfolio?

What is the composition and risk of an efficient portfolio with the same expected return as your existing portfolio?

What is an efficient portfolio’s worst possible VaR if return distributions are not lognormal?

Forward Looking Confidence Regions

How will my current portfolio and its benchmark perform relative to selected efficient portfolios in the future?

Institutional Restrictions

How is the set of efficient portfolios affected by whether you restrict the allocations to some asset classes?

What are the optimal period by period asset transition allocations subject to institutional restrictions due to slow asset transitions?

Liability Driven Investment Decisions

What are the allocation weight differences between efficient portfolios based on asset only versus surplus optimizations?

What are the possible values and probability distribution of the surplus ratio at various horizons for the efficient portfolios?

Rebalancing Problems

How sensitive are the optimization results to the rebalancing policy and is there a better rebalancing policy for a portfolio?

Inputs

First Input Image

Portfolio Optimization Parameters

Portfolio Optimization

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

Previous projects are importable in whole or in part with a button click

Outputs

Overlay Optimization Results

Efficient Portfolio Properties

Expected Surplus

Portfolio Optimization Report

Output Results are available in minutes and include a wide range of report diagnostics

Output reports and charts are transportable to Excel® or Adobe® files with a button click