Portfolio Optimizer

Diversification (Key to Investment Management) Investment management is a highly responsible task requiring a wide range of skills and methodologies. Whatever strategy and methods used, the most fundamental principle is the need for diversification. Every manager will intuitively spread his risk among a number of different stocks and in different industry sectors.

A Scientific and Disciplined Approach
Portfolio Optimizer

About 30 years ago Markowitz, Sharpe and others developed the modern portfolio theory. This revolutionized investment management by revealing a scientific and disciplined method of diversification. The work was so important that it was awarded a Nobel Prize in 1990. Their methods are now universally in use by fund managers worldwide to optimize the effects of diversification.The analysis techniques are now available as Portfolio Optimiser

Asset Allocation-the Key to consistent superior performance

Diversification among different classes of assets, currency and industry sectors is the key to consistent superior long-term performance. There are many methodologies in the art of investment management. However diversification and asset allocation are universally accepted as the key contributor to long-term performance. It is the only scientifically proven method. This is practiced by all pension & "long term fund" managers, in established financial markets.

Riskk Advantage

Riskk Optimizer is truly unique because we go beyond the standard Sharpe technique. Riskk exploit the power of modern technology and design a structure that allows for a variety of optimization modes. Besides the standard risk and volatility’s optimization, Riskk optimizer can minimize tracking error and maximize co-variance (totally ignoring return data). We can also customize the program to accommodate the investment manager’s skill and design his own innovative optimization mode.
The main weakness of the standard optimization is its dependent on historical return. The typical optimization will favor a few high return stocks and often do not generate a diversified portfolio.
Riskk includes an optimization mode that takes a neutral view on return and diversify solely on volatility and co-variances. Working with volatility allows the use of a shorter and more relevant historical data period. For the purpose of forecasting, historical volatility are more reliable than historical return.
To improve diversification, the Riskk methodology allows for multiple dimensions of constraints. For example one can set maximum and minimum weights on each stock and simultaneously set max/min weights for each sector.
Riskk provides a truly unique solution and a decisive advantage.


Features
  1. Simple data format allowing easy import of price datasets.
  2. Analyze both equities and interest-rate products.
  3. Five optimization modes:
    • Maximize Sharpe Ratio
    • Target Return (minimize risk)
    • Target Risk (maximize return)
    • Target or minimize tracking errors with a beta or 1.000
    • Maximize Co-Variance (return neutral)
    • Test the performance of your portfolios against the efficient frontier.
  4. Minimum and maximum allocation limits on each stock.
  5. Instant historical analysis displays return, risk and beta of each stock and the portfolio.
  6. Efficient Frontier calculation and display.
  7. Test the performance of your portfolios against the efficient frontier.
  8. Adjust portfolios to move them onto the frontier.
  9. Instant historical analysis displays return, risk and beta of each stock and the portfolio.
  10. Efficient Frontier calculation and display.
  11. Test the performance of your portfolios against the efficient frontier.
  12. Adjust portfolios to move them onto the frontier.
  13. Generate Sector indices and perform sectoral optimization.
  14. Perform Multiple Optimizations (up to 50 runs).