Seminar to Launch POW! version 1.22
May 2010
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POW! 1.22 was formally launched with a seminar at the London Tower Bridge Hilton on 14th May 2009, with Malcolm Frodsham, Director of Research at IPD, as guest speaker.
The main programme included:
- Overview of old and new in the POW! Framework
- Principal Components, Robust Components and Missing Data
- What do I do if my forecasts are partly based on history? Correcting the hidden assumptions of Black-Litterman
- Compound Linear Constraints: protection against the unexpected
- What if history had been different ? The balanced, block and calendar bootstraps
- Direct or Indirect - how can an investor decide? EWE, Linear Risk and portfolio contsruction
- Probability-adjusted cashflow modelling with PAC-M
followed by flash presentations on:
- Return attribution: Mirabelli or Russell ?
- Efficient allocation and reporting for multiple portfolios
- Speeding up with automation: implementation of Ledoit shrinkage
- Backtesting with dynamic constraints
- Is my forecast insane ? How to check
- Coherent risk budgeting
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POW! version 1.22
released
March 2010
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We are proud to announce the release of POW! version 1.22
Its many useful and user-friendly new features include:
POW! Documentation
POW! Frontier
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more constraints: drawdown, contriibution, ratio, scenario..
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change active return and/or risk scenario
POW! Robust
POW! Toolbox
POW! Backtest
POW! Bayes
POW! Risk
POW! Empirical
POW! Mandate
POW! Property
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linear risk now fuller available in POW! Risk as well as Frontier
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enabling smaller portfolios, faster calculations
POW! Automation
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IPD PAC-M model available
October 2008
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The new IPD/OCCAM Probability Adjusted Cashflow Model (PAC-M) is powered by the new POW! PAC module developed by OCCAM from the original prototype devised by the research team at IPD. Please visit www.ipd.com/toolkit for more information.
The model allows the portfolio manager to
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simulate cashflows from individual property assets, and the tenancy units they comprise
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under four different scenarios (Armageddon, Expected, Expected with Uplifts and Probability Adjusted)
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period by period into the future, initially using existing lease data, then making user-settable assumptions about breaks, costs, the probability of renewals and so on
- calculate equivalent yields and NPVs
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report on the portfolio as a whole, subsets, or individual assets and units, and explore path by path the tree of events that may occur as the property ages.
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IPD UK fund model new version
September 2008
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The 2008Q2 version of the UK model has been released, including not just the latest data, but also new features such as:
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ability to choose between annual, quarterly and monthly data periodicities
- auto-correlation adjustments
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ability to define returns, risks and constraints not just in terms of Total Return, but also another seven standard measures such as Income Return, Rental Value Growth and Yield, or combinations of them
- IPD rural property investment index added.
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POW! Interactive Help
June 2008
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To make sure you get the best out of POW!, we are now beginning to compile interactive help files. POW! is so extensive these days, that it will take a little while before the process is complete, so we are starting by documenting some of our best-kept secrets, our library of add-in functions.
Did you know you can do Black-Litterman or Principal Components Analysis in a single cell ? And now that you do, would you like to find out how to use them, and other functions like them ?
If so, let us know and if the help files you want are ready, we'll be happy to send them over; if not, we'll move them up our priority list and let you know when they are. Until 1.22 is released later this year, they won't be wired up to the functions, but the text and examples will be there.
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We've moved to London!
May 2008
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Ticehurst was great while it lasted, but in the end we realised we needed not just a bigger office, but one nearer the City and so many of our clients.
Our new main office is on the First Floor, 220 Tower Bridge Road, London SE1 2UP, just four buildings south of Tower Bridge itself, with splendid river views, and a ringside seat of the mayoral offices. Why don't you come up and see us some time ?
Our original Wadhurst office we will continue to use for administration. The address is The Old Vicarage, Wadhurst, East Sussex TN5 6AA.
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IPD UK fund model released
July 2007
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We are pleased to announce the release of the POW! IPD UK Property Model, designed to assist property managers wishing to achieve an optimal allocation of their assets within the UK across Balanced and Specialist Funds as well as Direct investments.
The model will allow users:
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to allocate optimally in absolute space, in real terms, relative to a single index, or a composite such as the AREF universe
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to determine whether their portfolio is large enough to invest in the chosen sectors directly, or whether the greater diversification (and sometimes gearing) offered by managed funds would improve their return to risk ratio
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to analyse the sources of risk in an existing portfolio, both prudentially and to see whether they are adequately rewarded
The data set includes:
- the annual IPD PAS sector time-series going back to 1981
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the individual property data assembled by Callender et al (2007) to estimate the intra-sector risk arising from imperfect diversification within sector
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the PAS sector weightings, gearing and related data from the IPD AREF database.
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ERES Conference 2007
28th June 2007
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Robert Rice delivered his paper on Realistic Portfolio Analysis and Construction in the Absence of Detailed Stock-level Data.
Investors wishing to analyse and rebalance their portfolios often do not have detailed stock-level data, so they may assume that each sector index as it stands is a good representation of the corresponding sub-portfolio, ignoring the sector information. This assumption is unsafe if the portfolio
The paper suggests a general methodology by which the investor can use the sector-level information to improve on the conventional approach, and
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obtain a better estimate of total portfolio risk, whether in absolute terms or relative to a benchmark
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more accurately estimate the risk contributions of the different parts of the portfolio
- allocate assets more realistically
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more specifically, decide whether commingled funds are a better choice than direct holdings for all or part of the portfolio.
Please contact us for a copy of the paper.
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POW! Property Module released
May 2007
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To handle the special features of property investments, we have developed POW! Property, a new module specifically designed for property investment managers, and others for whom real estate forms a significant part of their portfolio.
Features include:
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Equal Weighted Equivalent: the key statistic for calculating the effect of value skewness on property portfolio risk
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Linear risk: a breakthrough in optimisation technology, introducing the risk effect of portfolio and lot size into the asset allocation decision
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POW! Pivot: a series of add-in functions analogous to Excel's pivot tables but allowing a more powerful yet concise analysis of a given data set
- Secure access to IPD data sets
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Strategic Partnership
with IPD
April 2007
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We are pleased to announced that we have reached agreement with the Investment Property Databank (IPD) for the development of a series of models designed for property investment practitioners.
IPD has for many years been the UK's leading provider of commercial property data, and is now rapidly expanding its services in Europe and throughout the world. For more information, see www.ipd.com
Each model will marry a particular geographical or instrument subset from IPD's extensive database to OCCAM's existing POW! range of generic optimisation and risk analysis modules. In due course, new POW! modules are planned to handle the special features of property investments.
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We've moved !
January 2007
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We have now completed our move to our brand-new purpose-built offices in Ticehurst, and look forward to receiving you here.
With our team continuing to grow, our beautiful office at the Old Vicarage, Wadhurst had become just too small. We have now moved to a business park at Ticehurst, 4 miles down the road, where we have four times the space - but we are working on filling it up, as you'll see from the vacancies
If you don't make it to the office-warming on 1st February, feel free to drop in any time. The best station is still Wadhurst. Please note our new address and phone number.
We will still be using the Wadhurst office for various purposes such as off-site backup. Its phone number ( 44 (0) 1892 783862) will remain as before, but will normally be switched through to Ticehurst.
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Extended Allocation option
now available
November 2005
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New strength to handle intermediate allocation and analysis exercises
Since it was first released, POW! has been offered in 2 strengths:
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AA designed for Asset Allocation, fund of funds and smaller stock allocation problems, allowing up to 240 assets in a universe, and 100 in any one portfolio
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SA designed for Stock Allocation, offering universes and portfolios of unlimited size (subject to the memory of your computer).
Inevitably such a powerful tool as SA is more expensive than standard AA version, but may be overkill for some purposes. So now, in response to client requests, we are pleased to announce an intermediate strength at a cost-effective price:
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Risk/return attribution
implemented
March 2005
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Use POW! Mandate and other modules to check the performance of your allocation at levels that match your process
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Check your methodology out-of-sample, compare ex ante with ex post
Test Bayesian, regular or bootstrap optimisation-based strategies with time-varying constraints and transaction costs
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Many new features added in new release. Highlights include:
- All modules: improved security with Verisign ®, simpler installation, regular release of new builds
- Frontier: new Linear Risk term added to handle varying lot-size - useful for property funds and private clients with "grainy" portfolios
- Toolbox: Handle outsize matrices
- Robust: Jackknife and regular methods added, plus new "Nebula" class to check each bootstrap instance
- Empirical: View worst case drawdown and EVaR as well as regular and individual
- Mandate: powerful new Action button to automate processing of multiple portfolios - up to 1200 can now be analysed and optimised at once !
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No more worries about short and gappy data:
Standard and constrained EM plus our new robust component analysis missing data algorithms added. Also handles mixed periodicities
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Download holdings and other data from Pulse:
Private Client and Institutional Software, in addition to existing sources
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New! Standard reports and graphs:
Tear sheet graphs, enhanced formatting, additional statistics
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Bootstrap performance:
Simulation added; additional hedge funds statistics
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What every private client fund manager always wanted to know:
about risk models, but was afraid to ask
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For all those worried about risk in hedge funds and alternative investments:
by-pass the covariance matrix and distributional assumptions and access empirical data directly for robust and downside statistics
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Bootstrap optimiser:
for portfolio managers and other allocators wishing to reduce the impact of estimation risk on their decisions.Funds of funds and portfolios within portfolios
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Real-time batch and summary facilties for the busy manager with demanding clients:
- Optimise and analyse 100 portfolios at once
- Summarise key features in special overview reports and graphs
- Across-portfolio comparisons and policy deviations can also be reported, statistic by statistic
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Combine your views with those of the market:
in a rigorous Bayesian framework, allowing for the degree of cofidence you have in thsoe views. For those who know they don't know everything and want to make the most out of what they do. Includes a generalised version of Black-Litterman
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Robust Alternatives to Traditional Optimisation and Risk Analysis:
- Pitfalls in traditional optimisation
- The reasmpled efficient frontier in action
- Optimising risk allocation
- Bayesian techniques in risk modelling, facor analysis and beyond
- New products and forthcoming enhancements
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Robust Alternatives to Traditional Optimisation and Risk Analysis:
- Pitfalls in traditional optimisation
- The reasmpled efficient frontier in action
- Optimising risk allocation
- Bayesian techniques in risk modelling, facor analysis and beyond
- New products and forthcoming enhancements
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Tailor-made risk/return analyses and charts:
based on the POW! Frontier engine, for risk managers and others
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Bring your own laptop and learn hands-on about:
- Simpifying hedging with long-short assets
- Funds of funds and portfolios within portfolios
- BL, Bayesian estimation and reverse optimisation
- Do resampling and bootstrapping enhance return ?
- New products and forthcoming enhancements:
- Easy stock selection with re-usable rules
- Custom risk reporting
- Flexible modelling with relocatable functions
- Optimising on the web
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Hear us speak on:
- Integrated approaches to multi-currency bond analysis
- Style managment:
- Using bayesian techniques to control exposure
and get a discount from IIR !
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New Optimiser Features Introduced
- Express portfolios as numbers of shares
- And in local currency terms
- Handle futures and hedged assets
- Compatible with Microsoft Excel2000
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Faster handling of large problems for power users
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Backtest BARRA European and QUANTEC IRAS-XC cross-country models, or let us implement the model of your choice
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Still wedded to risk aversion?
Now you can select your frontier portfolio by psi or lambda
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See the Efficient Frontier with new eyes using our enhanced graphics. Define risk as probability of loss or underperformance, apply shortfall constraints and maximise target confidence - and more !
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Create risk and return models from time-series data paste the results directly into POW! Frontier or your own application
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How would my portfolio have performed if.....?
Backtest your models, strategies and scenarios with POW! Frontier Automation. POW! Users can download a sample application
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Download our introductory paper on reverse optimisation and free spreadsheet, together with a handy add-in for calculating portfolio risks, betas etc
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