Portfolio Optimization Software For Fund Of Funds

Portfolio optimization is a very powerful technique that can greatly improve performance of fund of funds and multi-asset portfolios though is often overlooked by portfolio managers due to a number of practical and theoretical problems limiting its use in practice. Most of portfolio analytics vendors offer traditional models based on the mean-variance analysis developed in the early 1950s. However, the mean-variance risk measures are hardly applicable to hedge fund and any non-linear instruments with non-normal distributions of returns. That is why the mean-variance portfolio optimization is useless and may provide totally misleading results when applied to hedge fund of funds and complex multi-asset investment portfolios. Addressing the known limitations of the CAPM and mean-variance frameworks for alternative investments, we have developed an advanced optimization platform where virtually any risk statistic can be used as an optimization objective function or added as a constraint. Such statistics include the complete range of the VaR-based measures, the Omega function, drawdowns, underlying fund correlations, market neutrality and many more.

Back in 2004, we introduced the first in the industry hedge fund of funds optimization system powered by the genetic optimization algorithms and capable of resolving complex non-convex multi-extreme optimization tasks. Since then our optimization framework has evolved greatly and now delivers numerous optimization models and constraints specially designed for alternative investments. Going beyond the traditional portfolio optimization task, our platform even offers an option of incorporating stress test results into the optimization model as constraints.  

Benefits For Fund Of Funds 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 the transaction costs due to better rebalancing strategies
  • Minimize 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

Advanced analytics for multi-asset investment portfolios

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 tailored to 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.

Report Builder

Report Builder delivers a flexible SaaS based reporting solution designed for hedge funds, fund of funds and multi-asset portfolios.

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