Expert Investor provides a powerful interface to explore diversification possibilities and the interaction of real-world investment constraints in large portfolios. This software has been designed to be a key tool for medium and large institutional investors.
The extended Markowitz-Sharpe-Lintner-Mossin model, including investment constraints, is highly relevant in modern practice. This software will allow you to import market data, form groups of assets, specify legal and market constraints, and then find the optimum portfolio composition for your particular needs.
Expert Investor generates a set of feasible investment portfolios, a diversification "umbrella-graph" and the optimum portfolio for a given market data, taking into account any number of constraints on the portfolio composition. It may also analyze the sensitivity of the optimum portfolio to the imposed constraints, via what-if simulations, and the density of portfolios on the feasible surface. Higher-moments Stochastic Simulations are also possible (for instance, a Skewness-Kurtosis simulation).
You can create, save, load, import and export groups and constraints with great versatility. The program even gives you the possibility of automatically loading associated group and constraint files when you open a data file.
Expert Investor II has been completely written in Delphi and is a stand-alone application. No additional software or external libraries are needed. A a result, extremely fast and robust computations can be done, with outstanding stability.
The program comes in two editions, according to the number of assets, data points and groups that may be managed: Professional (40,500,50), and Enterprise (1000,5000,2000).
Data: Financial data can be imported from a spreadsheet or database, including up to 5,000 points of information for 1,000 different assets on the Enterprise edition. Time series graphs, covariances, betas and other general information is shown on the Data Browsing window.
Grouping assets may be considered an essential step: it allows to introduce investment constraints and to better analyze optimum portfolio assignments.
Investment constraints usually arise from corporate policies or legal considerations. Incorporating them is what differences the modern approach to the classic Markowitz diversification model. Defining constraints is straightforward via the shown interface. Up to 2,000 investment "rules" may be managed on the Enterprise Edition.
Restrict the analysis to a data subset. Even if you import data for a large number of assets (you can load up to 1,000 series on the Enterprise Version), Expert Investor easily allows you to restrict your analyses to a limited set of them (and, of course, load and save subsets too).
Basic diversification theory transforms into a rather impressive plot when EI draws the efficient investment frontier for every possible combination of two-assets. This diagram shows the general form of the final "feasible investment area" and reveals which assets confer a greater diversification power.
Feasible area analysis, a unique feature of EI2, allows you to see all possible portfolios at a glance and the "core" of portfolios that may be bought taking into account all imposed constraints.
The optimum portfolio can be obtained in seconds, even for complex portfolios. Results may be examined and exported either for individual assets or groups (shown).
Measure the marginal impact of every given constraint. This analysis is particularly useful as an input for evaluating corporate policies and defining adjustment priorities on public policies looking for financial efficiency.
Explore the effects of diversification on expected returns, standard deviation, skewness and kurtosis. A fully configurable interface allows you to plot the right combination of statistics. Of course, all constraints-related functionality is still available.