Portfolio Optimization Software For Fund Of Funds

Portfolio optimization is a potent technique for enhancing the performance of fund of funds and multi-asset portfolios. However, it is often overlooked by portfolio managers due to practical and theoretical challenges limiting its application. Many portfolio analytics vendors provide traditional models based on the mean-variance methodology from the 1950s, which are unsuitable for hedge funds and non-linear instruments with non-normal return distributions. Recognizing these limitations, we've developed an advanced optimization platform that allows the use of virtually any risk statistic as an objective function or constraint. This includes VaR-based measures, the Omega function, drawdowns, fund correlations, market neutrality, and more.

In 2004, we introduced the industry's first hedge fund of funds optimization system powered by the genetic optimization algorithms and capable of resolving complex non-convex multi-extreme optimization tasks. Over the years, our optimization framework has evolved significantly, offering numerous optimization models and constraints specially developed for alternative investments. Beyond traditional optimization, our platform even allows the incorporation of stress test results as constraints, providing a comprehensive solution for complex non-convex multi-extreme optimization tasks.

Benefits For Asset Managers

  • Improve your portfolio risk return profile - reduce risks yet increase returns
  • Employ advanced risk analytics - stop relying on the mean-variance models
  • Instantly identity weak portfolio constituents dragging down the performance of your fund of funds
  • Test numerous optimization models and suggest the best one for your portfolio
  • Find the best rebalancing strategy and cut the transaction costs
  • Build prefect market-neutral portfolios
  • Cut transaction costs due to better rebalancing strategies
  • Minimize extreme event risks by taking into account stress test results of portfolio constituents
  • Find optimal allocations using a broad range of objective functions and constraints:
    risk statistics, liquidity, strategy concentration, custom manager rankings and many more

Advanced Optimization Models - Designed For Alternative Investments

  • Objective functions that take into account non-normal distributions of returns: CVaR, Max Drawdown, LPM, Omega Ratio, Conditional Drawdowns and many more
  • Non-linear and Differential Evolution Optimization
  • Market-neutral portfolio optimization
  • Holdings-Based stress testing data may be used as optimization constraints
  • Real-time and background optimization modes
  • Single and batch model optimization backtesting
  • Portfolio leverage optimization

Risk Shell Components

Risk management and portfolio construction for alternative investments

Asset Selection

Hundreds of quantitative and qualitative filters capable of constructing complex asset search criteria.

Factor Analysis

Multivariate Returns-based and Holdings-based Static & Dynamic Style Analysis to identify granular sources of asset performance.

Stress Testing

Stress assets or portfolios to identify and mitigate potential event risks. Predict impacts of extreme event shocks.

Portfolio Construction

Portfolio construction software for fund of funds: diversification & correlation analysis, risk budgeting and many more.

Peer Group Analysis

Multi-statistic and traditional Box-Plot Peer Group Analysis designed for hedge funds and multi-asset portfolios.


Powerful asset ranking framework that supports user-defined ranking criteria and synthetic risk statistics.


Holdings-Based Analysis of hedge funds and FoF across all asset classes including equities, fixed income etc.

CRM & Document Manager

Document management and due diligence tools for alternative investments and multi-manager funds.

Index Builder

Advanced quantitative framework to create custom benchmarks and factor subsets that ensure the best fit for any asset.

Custom Assets

Tools to create and maintain a virtual database of user-defined assets within the Risk Shell environment.

Portfolio Optimization

Optimization of multi-manager funds, fund of funds and multi-asset portfolios across a broad range of objective functions.

Portfolio What-If

Portfolio What-If Analysis to create and analyze hypothetical portfolios based on actual investment portfolios.

Investment Reporting

Report Builder delivers a flexible SaaS based investment reporting solution designed for fund managers and family offices.

Private Equity

Private equity risk management and portfolio management software, a part of the Risk Shell alternative investment platform.


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