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SmartFolio Professional Edition
SmartFolio is a state-of-the-art asset management software for investment professionals and private investors.
It contains advanced portfolio optimization and risk management techniques, based on the latest achievements
in portfolio theory. The software combines highly advanced and innovative analytics with a user-friendly,
intuitive interface, perfectly suited to any level of expertise and experience.
Most of the mathematical algorithms utilized by SmartFolio have only emerged in the last few years.
Many are therefore not to be found in other commercial products.
SmartFolio will help you solve a variety of practical tasks including:
Asset performance ranking ;Identification of investor’s goals;
Portfolio optimization; Efficient frontier construction ;
Analysis of portfolio risks;Analysis of target shortfall probabilities;
Minimization of transaction costs that arise during rebalancing.
| Software Information |
System Requirements |
| Version: |
2.0.2 |
- Windows 2000/XP/2003/Vista
- Additional software: Excel 2007/2003/XP/2000
- Pentium II CPU
- 256 MB RAM
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| License: | Free to try, $490 to buy |
| File Size: |
8.73 MB |
| Screenshot : |
View Screenshot |
| Rating : |  |
Key Features of SmartFolio Professional Edition:
- General
Fully supports the multi-period investment paradigm.
Fully supports portfolios featuring assets with non-Gaussian distribution of returns,
or non-linear inter-dependencies, including options and hedge funds. This is achieved
through direct simulation of portfolio dynamics with no model assumptions.
- Portfolio Construction
Simultaneous creation of two environments for portfolio analysis:
Analytical environment: logarithmic price increments are assumed to be
independent normally distributed random variables.
Historical environment: optimization and other procedures are based directly on historical prices.
Risk-free asset option.
Factor-selection option for a factor-based asset pricing model.
- Estimation of parameters
Stambaugh combined-sample estimates, used if asset histories differ in length.
Jorion expected-returns estimate, which shrinks sample average returns to a common value.
Ledoit-Wolf covariance-matrix estimate, which shrinks the sample covariance matrix to the
constant correlations covariance matrix.
Pastor-Stambaugh-Wang joint estimate of expected returns and covariances, which shrinks
sample estimates to their respective counterparts, implied by the selected factor model.
MacKinlay-Pastor joint estimate of expected returns and covariances, based on the
assumption that prices are explained by an unobservable factor.
- Portfolio optimization
Three optimization criteria:
- Maximization of an expected utility with constant relative risk aversion
- Minimization of target shortfall probability
- Benchmark tracking.
Worst-case scenario optimization: the resultant portfolios demonstrate optimal
behavior under the worst-case scenario.
Optimization engine based on IPOPT (Internal Point OPTimizer) — one of the most
powerful nonlinear optimizers available today.
- Target shortfall probabilities analysis
Calculation of target shortfall probabilities according to selected ranges for the
investment horizon and target rate.
- Value-at-Risk analysis
Simultaneous calculation of two risk measures: Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR).
Various techniques for calculation of VaR and CVaR, including:
- Delta-Normal Method (DNM)
- Empirical distribution
- Implied normal distribution
- Implied non-central t-distribution
- Cornish-Fisher expansion.
Construction of VaR and CVaR surfaces according to selected ranges for the investment horizon and significance level.
- Historical simulations
Simulations of portfolio strategies with continuous rebalancing.
Simulations of portfolio strategies with continuous rebalancing and portfolio insurance
— these strategies are optimal in a situation when a predetermined portion of the initial
wealth and/or accumulated profits must be maintained.
Portfolio-strategy simulations with "inaction region" rebalancing — these strategies are
optimal in the presence of proportional transaction costs.
Portfolio-strategy simulations with "inaction region" rebalancing and portfolio insurance.
- Data management
Choose either an Access-database or Excel spreadsheet format to store your data.
Import historical data from a text file or download it from Yahoo!Finance.
- Miscelaneous
"Three-fund" portfolio calculation — utility-based portfolio, optimal in the presence of
an estimation error in the model parameters.
Utilization of Block Bootstrapping algorithm in the calculation of VaR, CVaR, and shortfall probabilities.
Determine Inaction region optimal size in the presence of proportional transaction costs, based on a multidimensional extension of the Davis-Norman approach. [pdf]
Wide range of optimization constraints, which also include:
- Constraints on assets groups
- Highly non-linear margin constraint to account for margin requirements in portfolio components.
Various performance measures including Information ratio, Sortino ratio and STARR ratio.
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