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Portfolio Optimizer

_ Portfolio Optimizer

The next-generation quant tools that provide cost-effective solutions for more efficient portfolio management.

Protector

Offers a portfolio loss protection methodology that can be overlaid on any investment strategy.

No matter how effective risk management in a traditional investment process is, it is usually not possible to guarantee a maximum loss level (e.g. 5%/year) to end investors. This can cause panic in stressed market circumstances, as investors do not know how much further the value of their investments could drop. This uncertainty also discourages people from investing altogether. Structured products with a capital guarantee can offer a solution to this, but suffer from high fees, are often illiquid and not compatible with an actively managed investment process.

Our solution

Based on our state-of-the-art iVaR portfolio construction methodology* and traditional portfolio insurance algorithms (e.g. CPPI), our solution allows you to combine your existing investment process with explicit, individualised downside protection for end investors.

Works with either a defined investment universe or model portfolios.


The maximum loss level (e.g. 5%) and the horizon (e.g. 1 year) can be fully configured.


Optionally, end investors can adjust the desired protection level and/or horizon, allowing them to “lock in” profits or reset the protection level downwards to increase upside potential.


At each point in time, our solution will adjust portfolio risk up or down in the appropriate way given market circumstances and the desired protection level.


WeightAid

Helps you determine security weights for a self-defined investment universe.

Fundamental investment teams are often very skilled at selecting individual securities, but struggle to determine weights in order to achieve an optimally diversified portfolio. This can lead to risk concentrations and/or undesired biases towards systematic factors.

Our solution

Within an investment universe that you define yourself, WeightAid provides a quantitative approach to selecting security weightings:

Our next-generation InvestSuite Value at Risk (iVaR) metric and portfolio construction methodology help you to determine weights that optimally diversify your portfolio and limit downside risk.


Our neutralisation options make it possible to limit the biases of your portfolio to undesired characteristics (e.g. negative sentiment for value portfolios) that are often overlooked.


This approach allows you to increase focus on your core activity of security selection and extract even more alpha from your investment process.


Enhancer

Helps you construct sub portfolios that complement your core investment strategy.

Smaller investment managers often have to cover a wide investment universe with limited resources, forcing them to make a trade-off between depth and width of coverage. Outsourcing investment management (by e.g purchasing third party funds) leads to either lower management fee income for the investment manager or higher costs for the increasingly cost-aware retail investor.

Our solution

Enhancer allows you to create a model portfolio for a specific part of the market (e.g. emerging markets) using our state-of-the-art iVaR portfolio construction methodology*. This allows you to increase diversification while remaining focused on your core investment strategy.

This portfolio can either be optimised as a stand-alone portfolio or can be designed to be a “completion portfolio” that optimally complements your existing core investment strategy.


Allows your research analysts and portfolio managers to focus on their core investment universe, increasing knowledge and specialisation.


Decreases portfolio risk by increasing global portfolio diversification, allowing you to invest in markets that internal research analysts are not covering.

Enhancer

Create a model portfolio for a specific part of the market with our state-of-the-art iVaR portfolio construction methodology

Challenger

Helps you construct an intelligent, customised investment benchmark.

Portfolio managers and their clients often work with an investment benchmark, either as a reference to guide their active investment decisions or to evaluate investment performance. Traditional market cap weighted investment benchmarks suffer from many issues, such as a lack of diversification, high exposure to risky securities, investability issues and a bias towards expensive stocks or highly indebted bond issuers. Furthermore, these benchmarks often do not comply with local regulations or are not representative of the actual investment policy of the portfolio.

Our solution

Challenger helps you to construct an intelligent, customised benchmark using our state-of-the-art iVaR portfolio construction methodology* that can be fully tailored to a specific investment strategy. This benchmark can be used:

By portfolio managers as an efficient reference to make their active investment decisions against.


By portfolio managers as a challenge and inspiration and to help better diversify and risk manage their portfolios.


By clients and investment officers to more objectively evaluate the performance of analysts and portfolio managers.


State-of-the-art algorithms address the weakness of traditional risk measures

State-of-the-art algorithms address the weakness of traditional risk measures

Traditional investment risk measures that are still used today, such as volatility, have historically been chosen because of their simple mathematical properties. They do not work well to describe the risk of real investment portfolios and are not consistent with what end investors perceive as risk.

Following the above observations, we developed a new, innovative risk measure which we call InvestSuite Value at Risk (iVaR). Our basic premise is that any instrument or portfolio providing strict monotonic growth (i.e., no losses) should be riskless, regardless of the speed or consistency of the growth. The reason for this premise is that it matches the behaviour of a savings account, which also increases monotonically in value over time, and is considered riskless by end investors. For instruments or portfolios that do not exhibit monotonic growth (i.e. the vast majority) we calculate the risk (“iVaR”) as the deviation from monotonic growth.

In practice, this deviation is calculated as the difference between the actual value at each point in time and the highest value ever seen up to that point in time. The difference between the two is visualised as the sum of the pink areas (the graph above).

The difference between the two, the sum of the pink areas, is our measure for investment risk, called iVaR (InvestSuite Value at Risk). It is a combination of the size of losses (the height of the pink areas) and the time it takes to make up for those losses (the width of the pink areas).

Using this risk measure in portfolio construction should lead to portfolios that suffer lower losses and make up those losses more quickly, compared to traditional risk measures.

Discover our Product Suite

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Story Teller

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Let's talk

At InvestSuite, we believe the combination of changing customer expectations, technological evolutions and the emerging new ecosystem of financial institutions, fintechs, core banking platform providers and others is creating enormous growth opportunities.

With our suite of white-label solutions we help financial companies extend their product range with next-generation tools, in an agile, fast and cost-effective way. We are a pure B2B wealthtech company with a team of seasoned experts who operate across AI/machine learning, design, human insights and wealth management.

Our shared goal is to create user experiences that open up new markets and drive commercial success for our clients.