SmartFolio 3.2.4 Corporate License

Find probably the most acceptable asset allocation in keeping with your funding targets, market historical past andforecasts;

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

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

Fully helps the multi-period funding paradigm.

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

Simultaneous creation of two environments for portfolio evaluation:

• Analytical surroundings: logarithmic worth increments are assumed to be unbiased usually distributed random variables.
• Historical surroundings: optimization and different procedures are primarily based 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 typical 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 comes with 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 (threat parity and most diversification) (new in v.3.2)

Calculation of goal shortfall chances in keeping with chosen ranges for the funding horizon and goal price.

Simultaneous calculation of two threat 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 keeping 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 knowledge.

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

Batch import from all knowledge sources

1-click replace from all knowledge 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 chances.

Determine Inaction area optimum dimension within the presence of proportional transaction prices, primarily based on a multidimensional extension of the Davis-Norman strategy.

Wide vary of optimization constraints, which additionally embrace:

• Constraints on belongings 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.