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SmartFolio 3.2.4 Individual License

$65.00

Sales Page Price: $599

You Just Pay : $65

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Description

SmartFolio 3.2.4 Individual License

Sales Page : smartfolio.com

Files of Product : http://imgur.com/vIcqvmf

http://imgur.com/ENGVdqf

http://imgur.com/ZGiYN1J

http://imgur.com/jwm8Xfx

 

 

 

SmartFolio will enable you remedy a wide range of sensible duties together with:

Find essentially the most applicable asset allocation in response to your funding targets, market historical past andforecasts;

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

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

Supported analytical strategies embody shrinkage estimators, sturdy portfolio optimization, walk-forward portfolio optimization,benchmark monitoring, Black-Litterman mannequin, issue fashions, and plenty of others.

Features

Our superior, consistently up to date software program offers the investor all of the instruments they want. Some of the mathematical algorithms utilized by SmartFolio have solely emerged in the previous few years. Many are subsequently to not be present in different industrial merchandise. The most vital SmartFolio options are outlined under:

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 way of direct simulation of portfolio dynamics with no mannequin assumptions.

 

Portfolio Construction

Simultaneous creation of two environments for portfolio evaluation:

  • Analytical atmosphere: logarithmic worth increments are assumed to be impartial usually distributed random variables.
  • Historical atmosphere: optimization and different procedures are primarily based immediately on historic costs.

Risk-free asset choice.

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

 

 

Estimation of parameters

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, primarily based 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)

 

Portfolio optimization

Four optimization standards:
  • Maximization of an anticipated utility with fixed relative danger aversion
  • Minimization of goal shortfall chance
  • Benchmark monitoring ( = volatility minimization relative to any benchmark asset)
  • Maximizaton of instantaneous Sharpe ratio (utilized in building of risk-based portfolio methods) (new in v.3.2)

Robust portfolio optimization(worst-case situation optimization): the resultant portfolios display optimum habits beneath the worst-case situation.  Walk-forward optimization:

  • Arbitrary lengths of in-sample and out-of-sample home windows
  • Choice between rolling and increasing in-sample window (new in v.3.1)

Optimization engine primarily based on IPOPT (Internal Point OPTimizer) — one of the vital highly effective nonlinear optimizers obtainable.

 

Target shortfall possibilities evaluation

Calculation of goal shortfall possibilities in response to chosen ranges for the funding horizon and goal price.

 

Value-at-Risk evaluation

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

Various methods 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 response to chosen ranges for the funding horizon and significance degree.

Historical simulations

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 earnings 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.

 

 

Data administration

Choose both an Access-database or Excel spreadsheet format to retailer your knowledge.
Several historic knowledge sources:

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

Batch import from all knowledge sources

1-click replace from all knowledge sources

 

Miscelaneous

“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, primarily based on a multidimensional extension of the Davis-Norman method.

Wide vary of optimization constraints, which additionally embody:

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

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

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