The ALM Optimizer

Product Features 

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

Alpha Effects

Allocation Weights Sensitivity

• What are the allocation weight differences between efficient portfolios based on VaR, Vol, Expected Shortfall, or Non-Parametric 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 when rebalancing costs are present?

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

• User Inputs are entered and stored by project.

• 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