Optimizer > Inputs > Portfolios

Portfolios

Optimizer Help Documentation

Types of Portfolios

Before you optimize, you may want to enter or load your current asset allocations as an initial portfolio, so that you can use the rebalance test, transaction costs, or the turnover constraint. When tax lots are enabled, the initial portfolio cannot be modified.
You may also wish to load a benchmark portfolio, either for reference, for benchmark-relative asset bounds, or for active weight optimization. Usually, the benchmark portfolio mirrors an index or a liability. Benchmark portfolios can total other than 100% without enabling long-short optimization. When you transfer information from the Estimator by copying, launching, or loading, the market portfolio appears as the benchmark portfolio unless you have entered an alternate benchmark portfolio.
The Optimizer also holds up to one hundred reference portfolios for analysis and display. The Reference Portfolios Wizard, see below, allows the addition, deletion, copying, reordering, and selection of reference portfolios.
After optimization, the optimal portfolios appear.
Post-optimization identifies the investable portfolios.

Portfolio Characteristics

You can enter, review, compare, and change portfolios on the Portfolios Worksheet. The Optimizer calculates the return, standard deviation, and Sharpe Ratio for all of these portfolios automatically; if a Rebalance Test score is available, it is shown below the Sharpe Ratio; if four-moment resampling is enabled, an estimated skewness and estimated kurtosis are displayed next; if you have entered asset yields, expense ratios, or a custom characteristic on the Inputs Worksheet, the Optimizer also displays the portfolio-weighted versions of these quantities.

Note that the standard deviation calculations for the portfolios are affected if quadratic risk penalties are entered and the Add Quadratic Penalty to Risk option is enabled in the Display>>Charts Menu.

Evaluating Portfolios

The optimal portfolios appear on the Results Worksheet after optimization. The Efficient Frontier Chart on the Results Worksheet presents all portfolios in mean-variance space. All portfolios appear on the Charts Worksheet for comparison and other analysis. Filtered Portfolios refer to portfolios that match the criteria set up on the Filter Worksheet.

Portfolio Total Value

Portfolio Total Value, enabled through the Options Menu, reveals a row at the bottom of the worksheet for you to enter the monetary value of the portfolios. This can be used for your reference, but more often it is used in consonance with drifting. Drifting can update both the portfolio weights and the portfolio total value according to market activity. The dates that appear directly beneath the portfolio names on the Portfolios Worksheet indicate when the portfolio was last updated.

Reference Portfolios Wizard

Selecting the Reference Portfolios Button in the Wizards Section of the NFA Ribbon, accesses the Reference Portfolios Wizard, which allows reference portfolio management.

Select: Use the checkboxes to control which reference portfolios will appear on the Portfolios Worksheet and be included in the case.
Add: The Add Button adds a blank reference portfolio to the Portfolios Worksheet (starting with the name of P1, but you can rename them).
Copy: Highlighting a portfolio row and then clicking the Copy Button, adds a copy of that portfolio to the Portfolios Worksheet.
Delete: You can also delete any of the reference portfolios, though you are required to have two, even if they are blank.
Reorder: The Move Up and Move Down Buttons permit you to reorder the portfolios by moving the highlighted portfolio up or down the list.
Rename: You can rename reference portfolios either here by clicking on the name or on the Portfolios Worksheet.