The ALMOptimizer®

Product Features 

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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. Non-parametric, distribution free optimization is an option.
  
  
• Overlay Optimization onto a core portfolio is available as are long/short extension optimizations, market neutral optimizations, alpha transport, risk driven optimization, and Merton Hedging optimization.
  
  
• 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 low bias estimation and allocations. The special optimization module adjusts for the well-known and large bias that occurs when historical data is used.
  
  
• Scenarios are 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.

• Scenarios can be generated with lognormal, fat tail Student t, or jump driven distributions.  The latter produces return distributions that are fat tailed and skewed

• Allowance for the costs of short positions and rebalancing costs are 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.
  
  
• Currency Hedge optimization is available for a user specified portfolio.
  
  
• Reallocation optimization allows limiting a portfolio’s exposure to its important economic factors.
  
  

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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
• recognition of Risk Driven Investment allocations with our Risk Parity constraint
• adjustments in Special Optimizations to account for errors in user inputs obtained from historical data
• user projects are storable inside or outside the software

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Text Area - The Optimization Algorithm

• ALMOptimizer® provides prompt, first-year Free Software Support via support@almoptimizer.com.

• Modules may be purchased individually with or without support.

• Modules include free ongoing upgrades with the purchase of the support option.

• Ongoing Improvements to the latest Version are will be announced as they are implemented and included in the upgrades.