RSJ Portfolio

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App details

Release date

0001-01-01

Last update

0001-01-01

Product ID

XP9K8DX3G8K682

About RSJ Portfolio

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.

Key features

Efficient Frontier Algorithm
Hierarchical Risk Parity
Conditional Value at Risk
Minimum Volatility
Minimum Semi Volatility
Maximum Sharpe Ratio
Multi currency Support
Capital Asset Pricing Model
Backtest
PDF Export
Excel Export