Portfolio Optimization

5.0 02 Nov 2014

Excel template calculates optimal capital weightings.

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Developer website: Business Spreadsheets

The Portfolio Optimization template identifies the optimal capital weightings for a portfolio of financial investments that gives the highest return for the lowest risk based on the return risk profile and correlation between individual investments. The design of the portfolio optimization model enables it to be applied to either financial instrument or business stream portfolios. The portfolio optimization template is intuitive and flexible with help icons throughout to assist with input and interpretation of output results. Input of historical data for the analysis is supported by options to specify absolute prices or returns, number of current units held and a tool to download long time periods of financial market data for securities from the internet. Advanced optimization options include setting minimum and maximum constraints for weightings in the optimal portfolio and risk analysis options for overall volatility under the Sharpe ratio, downside risk or semi-deviation under the Sortino ratio and gain/loss under the Omega ratio. Optimization can be set to maintain at least the current level of return and specify a target return for which the probability of attaining is calculated via Monte Carlo simulation. The portfolio optimization results are displayed with weighting charts and return distributions as well as acquisition and liquidation actions required. Technical analysis is provided with back tested total return from signal trading and automatic optimization of technical period constants for each investment or the total portfolio that results in the highest back tested return. Technical analysis indicators with detailed charting and back testing analysis include simple moving average (SMA), rate of change (ROC), moving average convergence/divergence (MACD), relative strength index (RSI) and Bollinger Bands.

What's New

Version 5.0:
  • Enhanced exporting functionality
  • Conversion to XLSM for current and future version of Excel for Mac
  • Tested for Yosemite compatibility

Requirements

  • OS X 10.5 or later
  • Excel 2004 or higher for Mac

Ratings

Overall
(1)
Current Version (5.x)
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Details

Downloads
2,975
Version Downloads
306
Type
Business / Spreadsheets
License
Shareware
Date
02 Nov 2014
Platform
Intel 64 / OS X / PPC 32 / Intel 32 / PPC 64
Price
$26.00