SmartFolio 3.2.4 Corporate License

Find essentially the most applicable asset allocation in line with your funding objectives, market historical past andforecasts;

Analyze dangers of your funding portfolio from varied views (volatility, value-at-risk,shortfall possibilities);

Arrive at satisfactory portfolio rebalancing technique to reduce rebalancing transaction prices.

Fully helps the multi-period funding paradigm.

Fully helps portfolios that includes property with non-Gaussian distribution of returns, or non-linear inter-dependencies, together with choices and hedge funds. This is achieved by means of direct simulation of portfolio dynamics with no mannequin assumptions.

Simultaneous creation of two environments for portfolio evaluation:

• Analytical setting: logarithmic worth increments are assumed to be unbiased usually distributed random variables.
• Historical setting: optimization and different procedures are based mostly instantly on historic costs.

Risk-free asset possibility.

Factor-selection possibility for a factor-based asset pricing mannequin.

Equally-weighted pattern estimates of anticipated returns and covariances

Exponentially weighted pattern estimates of anticipated returns and covariances (new in v.3.1)

Stambaugh combined-sample estimates, used if asset histories differ in size.

Jorion anticipated returns estimate, which shrinks pattern common returns to a standard worth.

Ledoit-Wolf covariance matrix estimate, which shrinks the pattern covariance matrix to the fixed correlations covariance matrix.

Pastor-Stambaugh-Wang joint estimate of anticipated returns and covariances, which shrinks pattern estimates to their respective counterparts, implied by the chosen issue mannequin.

MacKinlay-Pastor joint estimate of anticipated returns and covariances, based mostly on the idea that costs are defined by an unobservable issue.

The Black-Litterman mannequin that includes subjective invetsor views in parameter estimation and asset allocation course of.

Dummy estimates of anticipated returns and covariances additional utilized in building of risk-based portfolio methods (danger parity and most diversification) (new in v.3.2)

Calculation of goal shortfall possibilities in line with chosen ranges for the funding horizon and goal fee.

Simultaneous calculation of two danger measures: Value-at-Risk (VaR) and Conditional Value-at-Risk(CVaR).

Various strategies for calculation of VaR and CVaR, together with:

• Delta-Normal Method (DNM)
• Empirical distribution
• Implied regular distribution
• Implied non-central t-distribution
• Cornish-Fisher growth.

Construction of VaR and CVaR surfaces in line with chosen ranges for the funding horizon and significance degree.

Simulations of portfolio methods with steady rebalancing.

Simulations of portfolio methods with steady rebalancing and portfolio insurance coverage — these methods are optimum in a state of affairs when a predetermined portion of the preliminary wealth and/or gathered income have to be maintained.

Portfolio-strategy simulations with “inaction region” rebalancing — these methods are optimum within the presence of proportional transaction prices.

Portfolio-strategy simulations with “inaction region” rebalancing and portfolio insurance coverage.

Choose both an Access-database or Excel spreadsheet format to retailer your information.

• Yahoo!Finance
• Text information
• Excel tables
• Bloomberg Professional

Batch import from all information sources

1-click replace from all information sources

“Three-fund” portfolio calculation — utility-based portfolio, optimum within the presence of anestimation error within the mannequin parameters.

Utilization of Block Bootstrapping algorithm within the calculation of VaR, CVaR, and shortfall possibilities.

Determine Inaction area optimum measurement within the presence of proportional transaction prices, based mostly on a multidimensional extension of the Davis-Norman method.

Wide vary of optimization constraints, which additionally embrace:

• Constraints on property teams
• Highly non-linear margin constraint to account for margin necessities in portfolio parts.

Various efficiency measures together with Information ratio, Sortino ratio and STARR ratio.