All Asset Allocation Software is Not the Same!

The ALMOptimizer® is an Asset-Liability-Model optimizer that offers significant advantages over other commercially available software

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Asset Allocation is the specification of a portfolio’s optimal investment weights across financial asset classes.  It is the foundation for portfolio construction and it is often used to benchmark actively managed portfolios. Consider the following:

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• The purpose of the ALMOptimizer® is to facilitate the identification of efficient portfolios that are consistent with users’ parameter estimates, investment horizons, risk preferences, and objectives, without incurring the high cost of third-party asset-liability studies.
  
  
• The software can be used for strategic or tactical investment allocations with an asset only, liability driven investment, or risk parity objective.
  
  
• This software provides the risk and expected return of Markowitz efficient portfolios but extended to include recent technical advances on the definition of risk, adjustments for input bias, nonnormal distributions, and enhancements that allow for overlays, risk budgets, and investment horizon adjustments.
  
  
• The optimization is fully integrated with scenario generation that allows the user to stress test the optimized portfolios.
  
  
• Asset allocations are clearly defined at all risks and subject to any user constraints.
  
  
• This software is immune to crashes and provides diagnostic feedback when optimizations cannot comply with the user’s inputs.
  
  
• We have made efforts to provide good record keeping and tabled results that can be easily imported to form various client reports including risk reports.
  

Our ALMOptimizer® software is a competitively priced, extremely user friendly, true global portfolio optimizer using lognormality on a .NET desk top platform. The search algorithm is by Frontline Systems Inc.® resulting in very fast and stable Asset Allocation solutions.

ALMOptimizer® Features Five Integrated Modules

• Return or Surplus Optimization with or without Economic Factor Re-optimization
  
  
• With Vol, VaR, MinVaR, or Expected Shortfall Risk Definitions
  
  
• Flexible Rebalancing, Return, and Risk Horizons
  
  
• Flexible Constraints including Long/Short Extensions and Risk  Budgets

• Return or Surplus Optimization
  
  
• With Vol, VaR, MinVaR, TE, or Expected Shortfall Risk Definitions
  
  
• Flexible Rebalancing, Return, and Risk Horizons
  
  
• Flexible Constraints Including Max Added Volatility and Market Neutrality

• Custom or Previously Optimized Portfolios’ Scenarios and Stress Testing
  
  
• Return or Surplus Ratio Annual  Scenarios
  
  
• Flexible Horizon, # of Scenarios, Starting Surplus Ratio
  
  
• Constant or Stochastic Interest Rate and Inflation Parameters
  
  
• Output Available in Tables, Charts, and Raw Data

• Expected Return, Variance, Correlation, and Risk Price Shrinkage Optimizations; Unbiased Minimum Variance Portfolio Optimization; Efficient Portfolio Combinations; and Low Bias Optimization

• With Return or Surplus Optimization Variables
  
  
• Flexible Rebalancing, Return, and Risk Horizons

• Return or Surplus Optimization
  
  
• With Vol, VaR, MinVaR, Tracking Error, or Expected Shortfall Risk Definitions
  
  
• Flexible Rebalancing, Return, and Risk Horizons
  
  
• Flexible Constraints including Hedge Parity