Excel Portfolio Optimization

Excel Portfolio Optimization 5

Optimization for portfolios of financial investments or business streams with reweighting of capital allocation .

PROS

  • Sophisticated portfolio analysis and optimization at low cost.
  • Download financial market data directly into Excel.
  • Optimizes technical analysis constants for all securities within a portfolio.

CONS

  • Requires Microsoft Excel 97 or higher.

Optimization for portfolios of financial investments or business streams with reweighting of capital allocation .

The Portfolio Optimization template identifies the optimal capital weightings for a portfolio of financial investments that gives the highest return for the lowest risk based on the return risk profile and correlation between individual investments. The design of the portfolio optimization model enables it to be applied to either financial instrument or business stream portfolios. The portfolio optimization template is intuitive and flexible with help icons throughout to assist with input and interpretation of output results. Input of historical data for the analysis is supported by options to specify absolute prices or returns, number of current units held and a tool to download long time periods of financial market data for securities.

Advanced optimization options include setting minimum and maximum constraints for weightings in the optimal portfolio and risk analysis options for overall volatility under the Sharpe ratio, downside risk or semi-deviation under the Sortino ratio and gain/loss under the Omega ratio. Optimization provides the probability of attaining a target return calculated via Monte Carlo simulation. The portfolio optimization results are displayed with weighting charts and return distributions as well as acquisition and liquidation actions required. Alternative and custom portfolios along the efficient frontier can be loaded. Technical analysis is provided with back tested total return from signal trading and automatic optimization of parameters.

Supports mixed long/short position portfolios. Performs back tested rolling optimization. Technical analysis has been added with ability to optimize constant parameters to maximize back tested return on buy and sell signals. Includes detailed analysis and charting of simple moving average, rate of change, moving average convergence/divergence, relative strength and Bollinger bands. Provides the ability to apply a capital amount equally to starting portfolio weightings. Real-time data downloading

Excel Portfolio Optimization

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Excel Portfolio Optimization 5