Hedge Fund Portfolio Optimization

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 (HFoF) 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 Hedge Fund Investors and Fund Of Funds Managers

  • Improve your portfolio risk return profile - reduce risks yet increase returns
  • Instantly identity weak portfolio constituents dragging down the performance of your FoF
  • 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 
  • Employ advanced risk analytics - stop relying on the mean-variance models

Portfolio Optimization On-Demand: What We Can Do For You

  • Test numerous optimization models and suggest the best one for your portfolio
  • Identify key driving factors and reduce portfolio event risks
  • Suggest the best rebalancing strategy and cut the transaction costs
  • Suggest alternative or adjusted portfolio allocations to improve the performance of your portfolio
  • Monitor your portfolio performance and deliver optimal allocations on an ongoing basis

Investment Research On-demand

On-demand services: accounting, fund risk valuation, due diligence, and portfolio construction

Fund Risk Assessment

Risk assessment of hedge funds across a broad range of risk models tailored to alternative investments.

Portfolio Risk Assessment

Risk assessment and valuation of Hedge Fund of Funds and multi-asset investment portfolios.


Portfolio Construction

Hedge fund portfolio construction: manager selection, portfolio optimization and risk analysis. 


Portfolio Optimization

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

Due Diligence

Comprehensive quantitative and qualitative Due Diligence on hedge funds covering all investments risks.

Style Analysis

Manager Style analysis based on multi-factor models and designed for alternative investments.


Strategy Enhancement

Strategy enhancement solutions to improve risk-return profiles of fund of funds and multi-asset investment portfolios. 


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