APT Portfolio Analytics & Optimization
A comprehensive set of ex-ante and ex-post measures, model-based and model-free, textbook implementations and proprietary, value-added analytics - offering a breadth of understanding and control over your investments that is available from no one else.
Analytics can be calculated across all asset classes including equities, government bonds, corporate bonds, currencies, indexes, funds, ETFs, convertibles, CDSs, commodities, futures, options & user-defined securities.
topRisk Analytics
Risk Estimates such as Tracking Error, Value-at-Risk (VaR), forecast volatility, %-systematic active risk, beta to benchmark, correlation with benchmark, etc. Normal distribution assumed for traditional measures such as tracking error, but non-normal assumptions for innovative extensions such as Tracking-at-Risk™ (TaR™). Forecast periods can be chosen by the user, and risk models are available with optimal forecast periods of between 1 week and 6 months.
Risk decomposition including traditional position-based risk attribution, marginal contribution of factors to risk, beta to factor, and innovative RiskScan™ decompositions - all based on any of the hundreds of explanatory factors available in APT (country, sector, currency, style, economic factors, and user-defined factors.) Risk decompositions can be carried out on all, or user-defined subsets of factors, tailoring risk reports to the style or behaviour of the manager.
Security-level analytics such as contribution to risk, marginal contribution to risk (MCARs), market beta, factor beta, forecast volatility, proportion of systematic v specific behaviour, etc.
topPortfolio construction functions
Portfolio construction techniques including optimizers based on various objective functions, including QP, LP, and non-linear solvers.
Benchmarked portfolios or long/short. Long/short solutions calculated simultaneously for maximum accuracy.
Portfolio optimization can be constrained or influenced by linear constraints and penalty functions, at the portfolio, factor, security, and trade level. Free-form data can be input, or market data can be used from the APT databases.
Solutions to so-called 'integer problems' such as restricted number of securities, trades, turnover, or cost, and thresholds on absolute security holdings, lot size, trade size, and costs.
Market impact accounted for by linear and non-linear transaction cost functions, using free-form input data, or liquidity data from APT databases.
Tax-efficient optimization for various legislative territories, including a complete implementation of the USA tax code. UCITS-compliant optimization 10/40 constraints) for European portfolio managers.
Fund-of-fund, multi-manager and other nested or pooled products, including use of ETFs & futures handled simply by synthetic instruments and APT's databases of index constituents.
Solutions to point-sample risk models, and point-sample manager estimates (so called 'resampled efficiency' problems.)
Solutions to non-convex problem spaces such as newer, complex pension fund mandates.
Transitional portfolio construction methods for traditional managers (optimizer-assisted) such as AimWeights™.
topPerformance Analysis
Performance measurement, analysis and decomposition.
Position-based, factor-based and returns-based. Multi-period, multi-asset class. Daily, weekly, monthly, end of month, irregular period, triggered by trades, etc.
Ex-post analytics include the same factors as the ex-ante risk analytics, giving a consistent picture from future to past.
Driven by APT's or external data sources.
The APT analytics rely on the APT Risk Models, and can be conveniently calculated by the wide range of APT Software.
Contact APT for a presentation, demonstration and example risk report for your fund or book.
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