Our revolutionary portfolio optimization procedure determines the best way to change your portfolio allocations as macroeconomic and market factors change in value. Use the factors identified as being important with the linear regression tool, or specify your own factors. The DynaPorte procedure allows you to develop dynamic asset allocation models based on history and then evaluate their forecasting power on an out-of-sample basis. Functions for switching allocations are simultaneously determined for all investments considered.
- Choose to maximize return or minimize loss (semi-deviation below a target).
- Establish a custom target level for minimizing losses.
- Include transaction costs, leverage and upper/lower allocation bounds.
- Specify the cost of borrowing in order to leverage the portfolio.
- Graph the optimal portfolio growth, performance frequency distributions and time-varying asset allocations.
- Determine the maximum impact that each factor has in controlling the asset allocations.
- Display performance statistics on the underlying investments and the resulting portfolio.