Portfolio Allocations

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The portfolio analyzer calculates the dynamically rebalanced optimal allocation for a portfolio over time using several proven asset allocation methods. Users can define the starting date and rebalancing intervals in days.

The choice of portfolio optimization depends on the users' risk appetite and investment objectives.

• Risk Parity:Keeps each asset's marginal contribution to the overall portfolio risk equal among themselves. It is a counter-cyclical asset allocation method commonly used by global macro hedge funds.
• Mean-Variance Optimization:The resulting portfolio maximizes the quadratic utility function of portfolio returns with asset covariance as the risk constraints. It is the foundational work of the Nobel Prize Laureate Harry Markowitz's Modern Portfolio Theory.
• Maximum Diversification:Maximizes the diversification benefits of the portfolio.
• Minimum Volatility:Minimizes the expected volatility of the portfolio. This is a usable asset allocation tool for risk-averse investors.
• Conditional Value at Risk Optimization:The method optimizes the portfolio to have the best outcome in the worst-case scenarios. This method is great for protecting downside tail risk.
• Equal Weighting:This simple asset allocation method helps with discipline in asset allocation and automatically reduces exposure when an asset outperforms and tends to look rich.