Description
The development of stock market values exceeds (over a longer time) the development of other investment alternatives (like bonds or money market accounts). But this comes with the greater volatility of stock prices. Experience however has shown, that correlation between different stock prices is pretty static (because it is based on economic facts like industry, country, etc)
Our software loads historic end of day price data and analyzes return correlation between different stocks. It than uses this to create an optimized portfolio. This portfolio consist of stocks, that have a low correlation (or low downside correlation if configured to do so). Thus the portfolios volatility is greatly reduced.
Elevated permissions are required for installation.
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Efficient Frontier Algorithm
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Hierarchical Risk Parity
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Conditional Value at Risk
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Minimum Volatility
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Minimum Semi Volatility
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Maximum Sharpe Ratio
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Multi currency Support
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Capital Asset Pricing Model
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Backtest
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PDF Export
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Excel Export