Portfolio Manager / Portfolio Optimization

Portfolio Manager

About Portfolio Manager

Rely on proven and robust theory and use Markowitz’s Modern Portfolio Theory and Black-Litterman’s approach to act like professionals. Portfolio Manager brings you these skills in an instant web application.

What are the benefits for you?

Is your portfolio really well collected? Compare it with the efficient frontier

The application brings you an answer to whether you could rebalance your portfolio and thus increase return (for the same risk) or decrease risk (for the same return).

Do you need to apply specific limits and then find the optimal solution?

More additional features bring you the service, such as the possibility of constraints application.

Those limitations can be the minimum or maximum weight for stocks in the portfolio, the presence of arbitrary stock in a portfolio, or the maximum number of companies included in the portfolio.

For more information and practical experience, feel free to request the demo.
How to use it?

We assume you already have a portfolio (but it is optional). If so, the fundamental use case is the following, and it only takes a few seconds:

4 Steps

01.
Submit your positions easily
02.
Check your risk-performance metrics on graphs and charts
03.
Compare your current portfolio with efficient ones (on efficient frontier)
04.
Choose a new portfolio collection by your risk-aversion profile
We take your portfolio and calculate risk-performance metrics like expected return, volatility, Sharpe ratio, and value at risk. Let’s have an example of a portfolio (equally weighted FAANG).
pm-eng
Then let’s analyze your portfolio against efficient frontier. One important thing should be mentioned in this place: efficient frontier is calculated from a specific pool; in this case, it is companies involved in S&P 100 index. If you would like to use only FAANG stocks, you can specify your own pool.
Dizajn bez názvu (8)
The efficient return and volatility (riskiness) of your portfolio determine a location in a graph.
The blue point shows the location of your portfolio, and the x-y coordinates represent the risk and reward of that portfolio.
A curve in the plot is an efficient frontier that is created by points representing the set of optimal portfolios sorted by investment risk aversion – the short end starts with a minimal volatility portfolio, and the continuum goes to the right, ending up in the portfolio with the highest return.
You can choose an arbitrary point lying on the curve, and then detailed information is revealed.
Dizajn bez názvu (9)
How does it work?
Basically, we apply portfolio optimization methods on the whole pool of stocks (S&P 100 in this case) and compare its risk-performance metrics against your custom portfolio. Results are visualized as graphs and charts so you can intuitively see how your portfolio is doing. An efficient frontier is a set of optimal portfolios for a specific level of risk.
The intuition behind the efficient frontier says that there are a set of portfolios with the highest possible return at a given level of risk or the other way around; there are a set of portfolios with the lowest risk (volatility) at a given level of return. Both are valid for a specific level of risk aversion, i.e., investors' willingness to take a higher risk for a higher return.