Portfolio Optimization

The Portfolio Optimization template identifies the optimal capital weightings for a portfolio of financial investments that gives the highest return for the lowest risk based on the return risk profile and correlation between individual investments. The design of the portfolio optimization model enables it to be applied to either financial instrument or business stream portfolios. The portfolio optimization template is intuitive and flexible with help icons throughout to assist with input and interpretation of output results. Input of historical data for the analysis is supported by options to specify absolute prices or returns, number of current units held and a tool to download long time periods of financial market data for securities from the internet. Advanced optimization options include setting minimum and maximum constraints for weightings in the optimal portfolio and risk analysis options for overall volatility under the Sharpe ratio, downside risk or semi-deviation under the Sortino ratio and gain/loss under the Omega ratio. Optimization analyzes the probability of attaining a target return via Monte Carlo simulation. The portfolio optimization results are displayed with weighting charts and return distributions as well as acquisition and liquidation actions required. The optimization process saves possible portfolios along the extremities of the efficient frontier. Pivotal profiles for minimum and maximum return, risk, and ratios can be subsequently loaded for analysis. Technical analysis is provided with back tested total return from signal trading and automatic optimization of technical period constants for each investment or the total portfolio that results in the highest back tested return. Technical analysis indicators with detailed charting and back testing analysis include simple moving average (SMA), rate of change (ROC), moving average convergence/divergence (MACD), relative strength index (RSI) and Bollinger Bands. The template is compatible with Excel 97-2013 for Windows and Excel 2011 or 2004 for Mac as a cross platform portfolio optimization solution.

What is new in this release:

Compatible with Excel 2016

What is new in version 5.0:

Save as XLSM feature for recent versions of Excel and enhanced exporting functions.

Requirements:

Excel 2004 or Excel 2011 for Mac

Limitations:

30-day trial