QOS-MAX™

Quadratic Optimization System

 

The top of the line portfolio optimizer.

 

Features

QOS-MAX is an exceptionally fast portfolio optimizer, that has been designed specifically for optimizing large long-only portfolios of stocks, bonds, ETF's and mutual funds.

Special features:

  • Set transactions costs separately for each asset, where the transactions costs vary with transaction size and follow any kind of function, such as a quadratic function, a square root function, or an empirical function.
  • Set linear equality and inequality constraints for portfolio attributes, factor exposures, industry exposures and any combination of asset-group weights.
  • Set a non-linear constraint on portfolio standard deviation, or active portfolio standard deviation.
  • Set soft constraints with quadratic penalty functions around targeted portfolio attribute values, factor exposures, industry exposures and any combination of asset-group weights.
  • Set a turnover constraint.
  • Set an upper bound on the number of assets in the portfolio.
  • Set upper and lower bounds on asset weights individually for each asset.
  • Set soft constraints with quadratic penalty functions around targeted asset weights individually for each asset.
  • Include risk-free assets.
  • Interface with an in-house factor model, or a factor model supplied by a vendor.
  • Maximize expected active return for a given standard deviation of active return, where active return is measured relative to a benchmark or normal portfolio.
  • Minimize standard deviation of active return for a given expected active return, where active return is measured relative to a benchmark or normal portfolio.
  • Maximize the mean-variance utility function for active return.
  • Maximize expected total return for a given standard deviation of total return.
  • Minimize standard deviation of total return for a given expected total return.
  • Maximize the mean-variance utility function for total return.
  • Maximize the Sharpe ratio for a given threshold return.
  • Maximize the threshold return for a given Sharpe ratio.

 

Limits

None

 

Applications

QOS-MAX can solve all the typical portfolio optimization problems faced by money managers, broker/dealers, plan sponsors, trustees and consultants. It is unmatched in solving quadratic optimization problems for equity and fixed-income portfolios, where the universe of assets is large and the transactions costs for each asset change individually with the size of the transaction in that asset. You can use it to:

  • Track an equity index such as the S&P500, or a broader index with more stocks.
  • Track a bond index.
  • Construct enhanced index portfolios.
  • Construct optimal actively managed portfolios that balance active return and active risk relative to a benchmark or normal portfolio.
  • Construct completeness or fulfillment funds.
  • Construct Normal portfolios.
  • Immunize bond portfolios.
  • Construct portfolios that lie on the Markowitz efficient frontier.
  • Construct the tangent portfolio that lies on the Markowitz efficient frontier, given the riskless rate.
  • Allocate assets globally or domestically among different asset classes.
  • Allocate funds among money managers, when the overall fund is managed by multiple managers.

 

Operating Environments

The QOS-MAX subroutine library is available in the following combinations of computer platforms and languages:

  • Dynamic link library (DLL), or static library for Windows on the PC, for use with C/C++, Visual Basic, or Fortran programs.
  • Linux on the PC for use with C/C++ programs.
  • C/C++ and Fortran source code is available for all computer platforms.

The QOS-MAX stand-alone system reads input data from text files, and writes out the optimal portfolio and its summary statistics to text files. It is available on the following computer platforms:

  • Windows on the PC .
  • Linux on the PC.

 

Internet and Intranet Systems

The C/C++ subroutine library is thread-safe, and can be used to build Internet and Intranet systems.

 

System Support

We provide support by e-mail and telephone during business hours Pacific Time, U.S.A.

 

Copyright (C) 1992-2010 Financiometrics Inc.