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Efficient Model Portfolio Construction

Based on Black-Litterman approach, OPTIMO reduces the complexity of asset allocation process and provides a valuable solution to define strategic and tactical asset allocation for your customers. An appropriate model portfolio construction provides agile and swift reaction to market fluctuations, with a balanced management of strategic bedrock and tactical concepts.

Business Capabilities

MODEL PORTFOLIO CONSTRUCTION

STRATEGIC PORTFOLIO OPTIMISATION
Efficient frontier generation leveraging on Black-Litterman approach, according to MiFID requirements for customer target/clustering

TACTICAL PORTFOLIO OPTIMISATION
Tactical asset allocation process through absolute, relative and weighted views, minimising portfolio TEV

WHAT IF & RISK ANALYSIS
Portfolio what if simulation, risk analysis, forward and back analysis, TWRR calculation

Features

Portfolio Optimization based on Black-Litterman approach, according to MiFID requirements for customer target/clustering

Tactical Portfolio Optimization through absolute, relative and weighted views, minimizing portfolio TEV

Efficient frontier generation with a customizable number of portfolios and multi/mono asset portfolio selection, comparison between different frontiers

Benchmark portfolio (expected return/risk) and historical series management

Real-time portfolio adjustment and simulation, ex-ante and ex-post monitoring

Portfolio what if simulation, risk analysis, forward and back analysis, TWRR calculation

Quantitative indicators calculation (VaR, C-VaR, Volatility, Rolling Volatility, etc)

Information tracking, tracing of views and strategic/ tactical choices

Key Benefits

Leveraging on most used market standard algorithms and approaches

Reducing asset allocation process complexity and operational risk

Increasing efficiency and time/cost saving

Allowing different users to manage model portfolio construction in a homogeneous way

External audit readiness and strategic/tactical choices proving

MiFID compliant model portfolios

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