Display Menu

The Display Menu shows and hides optional worksheets, charts, and information so that you can match your workspace to your workflow.  Your choices will persist as you open future instances of the Optimizer.

Asset Info Columns

• Asset descriptions are fields that can display longer textual information about each asset.

• Asset groupings allow you to assign assets to groups (for example: stocks and bonds).  When displayed, fields pertaining to asset groups appear on the Inputs, Constraints, Investability Constraints, and Charts Worksheets.  

• Asset tickers can be used for reference and for drifting.  When checked, two columns appear on the Inputs Worksheet, one for tickers and another for selecting the source (Google, Yahoo!, BLS, or Bloomberg) of online return updating.  Both columns are optional.

• Yield is an optional column on the Inputs Worksheet that can be used for reference, taxes, and customized constraints.

• Expense ratio is an optional column on the Inputs Worksheet that can be used for reference and customized constraints.

• Custom characteristic is an optional, renameable column on the Inputs Worksheet that can be used for reference and customized constraints.

Worksheets

• Constraint Analysis--Expose or hide the Constraint Analysis Worksheet.

• Constraint Analysis II--Expose or hide the Constraint Analysis II Worksheet.

• Data--The data pages display source data for the Excel charts.  New Frontier provides them to enable additional reporting and charting options.

• Filter--Expose or hide the Filter Worksheet.

• Fix Covariance--The Covariance Fixer finds a valid covariance matrix as close as possible to the input covariance matrix.  It is useful when manual changes to individual correlations have rendered the risk estimates unusable as a whole to the Optimizer.  Matrices input from the Estimator will never require the Covariance Fixer.  It is only available if you have arranged a special license with New Frontier.

• Info--The Info Worksheet reviews currently selected options and those used for the previous optimization.

• Investability Constraints--The Investability Constraints Worksheet allows entry of constraints for post-optimization.

• Simulator--The Simulator Worksheet allows users to recreate the simulation experiments from Efficient Asset Management (Michaud and Michaud 2008), demonstrating the value of Michaud optimization applied over multiple input scenarios

• Trade Advisor--The Trade Advisor provides trading guidance for implementing the best partial trades toward the optimal portfolio.

Charts

• Show Standard Deviation Confidence Intervals enables confidence intervals around the standard deviation (or tracking error for an Active Weight case) of the selected portfolio on the Efficient Frontier Chart and in the Results Table.  (To adjust the confidence intervals, change the percentile bounds in the Options Menu.)  This feature facilitates analysis of the standard deviation of the optimal portfolios, but disabling this option speeds up the optimization.
• Classical Composition Map toggles between the classical (nonresampled) Mean Variance Optimization Portfolio Composition Map on the Results Worksheet and the Michaud (resampled) portfolio composition map.
• Flip reverses the order of the assets in the chart to match your preference.
• Show Selected RE Simulations Only toggles the Efficient Frontier Chart between showing a cloud of simulations corresponding to the entire frontier or a smaller cloud corresponding to just the selected portfolio.

• Add Quadratic Risk Penalty to Risk adds the impact of quadratic risk penalties to the Efficient Frontier Chart.