Portfolio Optimiser: the state-of-the-art Markowitz Model

CuβicAlphα have developed a proprietary optimizer, fully integrated into our investment platform, based on the Markowitz mean-variance approach.

The underlying logic is that, since accurately forecasting future prices/returns for assets is extremely difficult, data from the immediate past is our best guide to construct a portfolio to hold into the immediate future.

The assumption is that an investor wants to maximize a portfolio's expected return contingent on any given amount of risk. For portfolios that meet this criterion, known as efficient portfolios, achieving a higher expected return requires taking on more risk, so investors are faced with a trade-off between risk and expected return. This risk-expected return relationship of efficient portfolios is graphically represented by a curve known as the efficient frontier. All efficient portfolios, each represented by a point on the efficient frontier, are well-diversified.

Although the significance of the Markowitz mean-variance approach model is unanimously recognised, the basic model neglects many realistic restrictions faced by investors like:

  • personal or strategic investment decisions
  • market awareness and condition
Our optimiser allow the user to easily set:
  • personal investment decisions to hold, not to hold, hold at minimum desired weight or hold not above a certain limit a specific security
  • strategic investment decisions in order to constrain the portfolio to exposures compared to the market both in term of Sectors and Countries
  • building of equity portfolios that will not only be in line with personal and strategic investment decisions but also take into account several market parameters such as the Beta for both long and short term, the market participation, etc
Alongside these features, our optimiser has been integrated with Artificial Intelligence and Machine Learning capabilities purely based on fundamental data, which allows the platform to calculate the expected return and expected dividend yield that can be set as a constraint and be part of the your personal or strategic investment decisions.

That’s why the CuβicAlphα Portfolio Optimiser is state-of-the-art and an evolution of the Markowitz Model.

Portfolio Performance Report

Knowing your portfolio is the first step to understanding your investment, at CuβicAlphα we have developed a reporting system that allows our customers to understand their portfolio performance as well as the risk they are carrying.

Our Reporting System will shows how well your portfolio is diversified:

  • Viewing how your investments are allocated helps you understand how much risk you have taken on and see where adjustment need to be made.
  • Pie charts make it easy to visualize your allocation percentages.
  • View allocations based on your individual holdings, or based on any categories you've created in the portfolio.

Our portfolio Reporting System will show:
  • Daily, MTD, QTD, YTD and since Inception performance.
  • The Top 5 contributors and Top 5 detractors to performance, on a daily basis.
  • The Value at Risk (maximum potential loss) of your portfolio based on three different adverse scenarios.
  • Comprehensive statistical analysis including the Sharpe Ratio, the portfolio’s beta for the long and short term.
  • Comprehensive analysis for the portfolio exposure to fundamentals such as price/sales, price/earnings, price/book, dividend yield, payout ratio and market cap exposure.
  • Detailed view of your holdings alongside the sector and country exposure
CubicAlpha_Report_SAMPLE.pdf

The Web App

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