Mean-variance portfolio optimisation requires estimates of risk and, in most cases, forecasts of return. The risk estimates may be either in the form of covariance matrices, or standard deviations and correlations.
POW! Toolbox is a set of tools designed to be used from Microsoft Excel that will use time-series to construct mean returns (if required) and risk matrices. Its primary purpose is to interface with POW! Frontier and generate automatically the selected model types, outputting the results to the destinations required by the chosen POW! Universe; but it also has many applications in its own right.
POW! Toolbox comes as a Wizard for Excel or as a programmable module, POW! Toolbox Automation.
POW! Toolbox Wizard allows the user to :
see a complete list of features here...
The basic set of parameters generated by POW! Toolbox includes :
Your raw data can be time-series that are prices, returns or log returns (the natural logarithm of the price ratio); and the results can be converted into any one of these three forms (prices are re-based to generate the initial value). Data can be accumulated; compounded to a different time-scales from the data observations; and weighted by a user-defined series of weights, or by a function with exponential, gaussian and/or linear elements.
POW! Toolbox can be used to produce parameters for simple factor models. Factors may be supplied as time series and POW! Toolbox will run a multiple regression of the asset time series against the factors.
Output available for a multiple factor model of this kind is :
POW! Toolbox can also calculate the principal components of time-series allowing you to generate your own indices. You can run a factor analysis first and then a principal component analysis on the residuals.