NEW YORK, August 5, 2019 – Axioma, the leading global provider of enterprise risk management, portfolio construction and regulatory reporting solutions, has added multi-portfolio optimization to the Axioma Portfolio OptimizerTM user interface, facilitating expanded access and portfolio analytics visualization.
“Multi-portfolio optimization is a feature that we introduced 10 years ago that gained significant traction with our clients, because it is a unique way to solve complex optimization strategies involving multiple accounts,” said Alessandro Michelini, Axioma’s Head of Front Office Solutions. “Due to high client demand, we have expanded access to multi-portfolio optimization so that it is now available via our user interface in addition to our existing APIs. This enhancement will help to streamline our clients’ production workflows and offer greater choice in how they use this important feature of our optimizer. The new interface allows clients to quickly analyze complex optimization problems spanning multiple portfolios and make strategy changes to improve their results.”
With multi-portfolio optimization, clients are able to simultaneously rebalance multiple portfolios where one or more constraints or objectives span the portfolios. A popular application of multi-portfolio optimization is capturing shared market impact to enforce fair allocation of available liquidity across a group of portfolios. With the multi-portfolio optimizer now available in the GUI, clients can visualize analytics on each of the individual portfolios and the aggregate portfolio before and after optimization, and modify their multi-portfolio strategies to improve the optimization results.
In addition to the multi-portfolio optimization feature, the GUI also contains a multi rebalancing tool, which enables clients to create and refine strategies for both individual portfolios and the aggregate portfolios. The interface also provides strategy analytics that enable the user to gain insights into the impact of strategy elements at the individual portfolio level and the aggregate level.
The multi-portfolio optimizer is an additional modeling layer built into the Axioma Portfolio Optimizer framework, which is the most flexible and sophisticated optimizer and portfolio construction tool on the market. The Axioma Portfolio Optimizer offers portfolio managers complete freedom to model their objectives, an unlimited combination of constraint parameters, robust optimization, and the Alpha Alignment FactorTM method to prevent underestimation of risk.