The  ALMOptimizer®

Product Features 

Comparative Advantages and Features

• true optimizations rather than local searches around arbitrary starting points, irrespective of the risk measure or the horizon,

• internally consistent model with a users’ parameter estimates, investment horizon, risk horizon, risk preferences, and objectives,

• option to change user entered expected return inputs to software generated zero-arbitrage expected returns in a CAPM type model,

• return optimization variable tailored to the return and rebalancing horizons,

• surplus optimization variable facilitating a Liability Driven Investment objective over the return and risk horizons,

• flexible and different return optimization and risk horizons,

• flexible rebalancing policy,

• Volatility, VaR, MinVaR, Expected Shortfall, or Tracking Error risk variables tailored to the risk horizon,

• flexible portfolio absolute or relative weight constraints on individual assets or combinations thereof

• risk budget constraints on individual asset classes,

• constraints on portfolio Expected Return and Vol, VaR, MinVaR, or Expected Shortfall risks

• overlay optimization onto a core portfolio,

• long/short extension portfolio optimizations,

• market neutral optimizations,

• "Special Optimizations" to account for uncertain expected return, vol, and correlation inputs to enhance the optimization reliability,

• flexible cost of short positions and rebalancing costs 

• annual return and surplus scenario generation on optimized and custom portfolios with fixed asset parameters or changing asset parameters driven by country specific empirical Treasury yield and inflation processes

• raw data output from scenario generation

• stress Testing optimized portfolios

• integrated Currency Hedge optimizer

• absolute return/hedge fund optimization

• optimization volatility risk sensitivity analysis

• return on risk optimization

• factor risk optimization

• risk budget constraints

• risk parity optimization

• non-parametric optimization

• scenario generation w/jumps and fat tail