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OPTEMA

Optema is a powerful, yet simple, tool designed to assist in idea generation and portfolio construction. It is well suited to the ad-hoc creation of index tracking or tilted portfolios and can be incorporated, as a DLL, into a fully automated system. It offers an unparalleled combination of speed, features and practicality in a very easy-to-use wrapper.

Key Features:

  • Uses EMA or user defined risk-models
  • Uses interior point algorithm optimised to work with factor models
  • Efficiently handles sparse matrices, quadratics and linear constraints
  • Tweak option on output allows quick and easy experimentation
  • Proprietary genetic algorithm solves best n type problems
    • Limit number of stocks in final portfolio
    • Generate shortlist of best trade ideas
  • Target tracking error or build full efficient frontier
  • Long only, long-short or market neutral portfolios
  • Customisable – system or user-defined constraints
  • Correct treatment of residual risk of composites
  • Easy-to-use with intelligent wizard
  • Up and running in 5 minutes or available in DLL form
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