The IPD Portfolio Optimiser is designed for direct and indirect fund managers, and Solvency II modelling. The Optimiser calculates the optimal asset allocation for either a given level of return or a given level of risk, and:

• Utilises the volatility and correlation of the IPD Index histories
• Uses user forecasts to allocate a portfolio across direct assets and indirect vehicles
• A unique feature is that it incorporates the idiosyncratic (or linear) risk implicit in holding individual assets (as opposed to the market), adjusted for value skewness.

Can be used in: Asset Allocation, Strategy Formation

Beneficial for: Investors, Strategists, Fund-of-Fund Managers

Measures: Efficient Frontier, Probability Adjusted Efficient Frontier, Probability of achieving a set level of return, Probability of falling below a set level of return, Duration, NPV, IRR, Equal-weighted equivalent (EWE)