QuantDesk® Portfolio Optimizer

Leverage prize winning science


Mean Variance Optimization

Optimizer takes advantage of Harry Markowitz’s Nobel Prize-winning research to reduce risk in a portfolio


Machine Learning Twist

Optimize a portfolio of securities towards a Machine Learning Forecast Algorithm


Global Constraints

Incorporate Minimum and Maximum Weights at the Position level

Optimize Portfolio Allocation for your risk tolerance

Our Portfolio Optimizer builds on Markowitz’s ideas, but with features that enable it to be tailored to your needs

Find Strategic Entry and Exit Opportunities
  • What’s your risk level? Choose from three options: Minimum Risk, Maximum Return, and Balanced
  • Do you have insight about future prices? If so you can enter a forecast for each equity to help the optimizer determine allocations
  • Do you have a negative outlook? In addition to long only allocations, our optimizer can also generate long/short and short only portfolios
  • Use our forecasts: The optimizer can also use our proprietary price forecaster to inform recommended allocations
  • Are you interested to optimize across entire asset classes instead of stocks? If so, you can ask the optimizer to assess appropriate indexes instead of equities
Automatically adapts to a changing market

How Portfolio Optimizer Helps

Serious investors use optimizers to reduce risk while maintaining returns:

  • Reduce risk: The first thing you will notice when you use a portfolio optimizer is that the volatility in your portfolio will be reduced dramatically. We often see volatility cut in half for our clients’ portfolios
  • Preserve return: Our optimizer finds the statistically highest yield portfolio for your level of risk

Based on Nobel Prize winning approach

  • Data: 7000 North American equities including: NYSE, NYSE ARCA, NASDAQ, AMEX, OTC (stocks, ETFs, ADRs). Over 100 indices, including major indices published by Dow Jones and S&P
  • Lucena now supports International Equities
  • Core algorithm: We use the efficient frontier approach pioneered by Harry Markowitz, with extensions that allow long and short positions as well as custom risk levels
  • Optimization: Our system uses a high performance convex optimization algorithm to find the best allocation
  • Risk level: Three settings: Minimum Risk, Maximum Return, Balanced (for maximum Sharpe Ratio)
  • Constraints: You can set upper and lower allocation limits for each equity
  • Alpha: Use our forecasting tool, or input your positive or negative sentiment for each equity
Price Forecaster has access to a broad set of data and is built using powerful algorithms