Mean Variance Optimization
Model attributes:
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Assets are graphed on basis of risk and return.
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Using mean-variance optimization assets combine to form optimum portfolios. The line connecting these portfolios is referred to as the Efficient Frontier.
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Developed in 1952 by Nobel Laureate, Harry Markowitz in his paper titled," Portfolio Selection."
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Widely utilized among institutional investors to reduce risk of portfolio.
Functional uses:
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Finds portfolios that maximize return per unit of risk.
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Shows how a particular asset or portfolio lies relative to others and the Efficient Frontier.
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Selects and proportions assets that combine to create a mean-variance efficient portfolio.
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Perfect for investors targeting specific risk levels.
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(Correlated Vector, Dominated Region Allocation Model)
Model attributes:
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A holistic, visual asset-allocation model. Builds custom efficient portfolios rooted in diversification.
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A graphical illustration of portfolio relationships and criteria such as risk, return, financial ratios and statistics.
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Represents portfolio balance as shape or symmetry.
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Each asset's direction from the origin is a function of the assets correlation with others in the portfolio.
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Assets with strong correlations are spatially close to each other in the model while assets with smaller or negative correlations are farther apart.
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Assets more distant from the origin have a higher Sharpe ratio, greater returns, less risk or otherwise more attractive metrics.
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Assets which comprise the convex hull determine the efficient set and dominate inferior portfolio candidates interior to the hull.
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Allocation weights determined by pro rata volume contribution.
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Developed in 2000 by James Damschroder and Gravity Investments. Patent(s) Pending.
Functional uses:
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Sophisticated analysis made simple utilizing symmetry as balance and volume as objective (capital).
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Allows the user to look inside the portfolio to see the internal dynamics.
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Allows the user to view the strengths and weaknesses of a portfolio in a simple graphical interface.
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Simplifies communication of portfolio diversification and comparison of portfolios.
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Creates one globally-efficient portfolio, can also create a maximum diversification portfolio.
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Platform for visual simulation, testing and analysis. Expandable and customizable.
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Perfect for absolute return investors.
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