Portfolio Optimization


The Excel Portfolio Optimization template identifies the optimal capital weightings for a portfolio of financial investments that gives the highest return for the lowest risk based on the return risk profile and correlation between individual investments.

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Product Description

You’re an investor with a portfolio of stocks, mutual funds, and bonds. Your investment strategy has been rather ad hoc, but now you want to make your money work harder but with less risk, and get an analytical edge.

Then this is the Excel spreadsheet that’s for you. The Excel Portfolio Optimization template calculates the best investment weighting for your portfolio. This optimized portfolio will maximize your return but at the same time minimize your risk.

The spreadsheet’s elegant design makes it easy to use. It can be used for stocks, bonds, funds, index investments, and even business stream portfolios. Help is easily accessible from all the major functions, so you never have to spend a long time searching for help.

Historical financial data is easily entered (but you can also automatically download data from the Internet). You can enter  absolute prices or percentage returns, and the number of units held.

You can set constraints in your optimized portfolio (for example, you can say that a specific investment must bebetween  a minimum or maximum fraction of the portfolio). You can optimize for the volatility or Sharpe Ratio, downside volatility, the Omega Ratio and more. You can also set a target return.

The spreadsheet uses Monte-Carlo simulation to calculate the optimum investment weighting. This is efficiently programmed and will give  results quickly. A series of charts illustrate the optimized portfolio. You’ll also get the amount of each investment you’ll need to buy or sell.

Technical analysis is provided with back tested total return from signal trading and automatic optimization of technical period constants for each investment or the total portfolio that produce the highest back tested return. Technical analysis indicators with detailed charting and back testing analysis include simple moving average (SMA), rate of change (ROC), moving average convergence/divergence (MACD), relative strength index (RSI) and Bollinger Bands.

The template is compatible with Excel 97-2013 for Windows and Excel 2011 or 2004 for Mac as a cross platform portfolio optimization and technical analysis trading strategy solution.

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