QOS-MAX™

Quadratic Optimization System

 

The top of the line portfolio optimizer.

 

Features

QOS-MAX is an exceptionally fast portfolio optimizer based on the active set method for quadratic programming. It takes advantage of the structure of portfolio optimization problems to optimize large portfolios very quickly. The QOS-MAX portfolio optimizer is designed for sophisticated applications in institutional portfolio management, and has been used extensively at financial institutions and consulting firms. It has special features that can be used to:

  • Set transactions costs that vary individually for each asset based on transaction size.
  • Set linear equality and inequality constraints for portfolio attributes and asset-group weights.
  • Set quadratic penalty functions around targeted portfolio attribute values and asset-group weights.
  • Set a turnover constraint.
  • Set upper and lower bounds on asset weights individually for each asset.
  • Set 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 portfolio optimization software is available as a subroutine library. We support the following combinations of computer platforms and languages:

  • Dynamic link library (DLL) for Windows, for use with C/C++, Visual Basic, or Fortran.
  • Subroutine library for Linux, Sun Solaris and Windows.
  • C/C++ and Fortran source code is available for all computer platforms.

 

Internet and Intranet Systems

The C/C++ subroutine library is thread-safe. You can encapsulate it with a C/C++ wrapper to build Internet and Intranet systems for Linux, Sun Solaris and Windows platforms.

 

System Support

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

 

Consulting

We offer consulting services for building in-house systems that incorporate QOS-MAX.

Copyright (C) 1992-2008 Financiometrics Inc.