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  • Axioma’s Latest Portfolio Optimizer Offers Faster Optimization Speeds and Enhancements for Tax Aware Portfolios

    Tuesday, September 19th, 2017

    Axioma, a global provider of innovative risk and portfolio management solutions, today released the latest version of Axioma Portfolio Optimizer (APO 2017.R4). Key updates include multi-core optimization for shorter optimization run times, improvements for tax-aware portfolio rebalancing, and new enhancements to the Optimizer’s Web Service and Python API.

    “The latest enhancements to the Optimizer are in response to our customers’ need for faster, more responsive solutions that help them make incremental yet impactful adjustments to their investment portfolios as competition stiffens,” said Pamela Vance, Managing Director, Applications Development at Axioma.

    The Optimizer’s new multi-core optimization functionality will allow customers to improve the run time for an average mean-variance optimization by up to 50 percent when using 4-8 cores. For special mean-variance optimization problems, such as multi-period and multi-portfolio, performance can improve by as much as 2-4 times. This update offers enhanced responsiveness for customers performing time-sensitive intraday rebalancings. Key use cases include clients optimizing large batches of portfolios overnight who will benefit from improved process reliability, and research teams who stand to take hours off of large backtesting studies.

    The enhancements to the Optimizer’s functionality for tax-aware portfolios were made in response to growing demand from both private wealth managers, and tax-sensitive mutual fund and ETF clients. Private wealth clients are seeking to serve a broader range of investable assets by achieving scale through technology, while mutual fund and ETF clients are increasingly focused on improving their tax-efficiency.

    Updates include:

    • Improved solution quality for portfolios with complex tax considerations

    • New constraint options that enable users to prevent the sale of individual tax lots

    • Ability to export tax-aware reports embedded with a portfolio’s tax information, such as rate and accounting method

    • A streamlined workflow for creating batches of rebalancings and implementing ad-hoc strategy changes

    Following the initial launch of the Optimizer’s Web Services and Python API in January, Axioma has added a host of new features. Users can now:

    • Create and edit tax-aware portfolios and compute tax-related analytics

    • Use additional analytics in the Optimizer’s web service and Python API

    • Constrain risks using Axioma’s proprietary alpha factor

    • Generate standard risk reports and execute batches of rebalancings

    The Python API was the most widely requested feature for the Optimizer by customers to date.

     

    ABOUT AXIOMA

    Axioma is a leading provider of enterprise risk management, portfolio construction, and risk and regulatory reporting solutions that offer incomparable insights into the constantly evolving state of risk. Financial institutions worldwide rely on Axioma’s sophisticated suite of tools and flexible open platform technology to unify the view of risk across front, middle and back office functions, helping to drive efficiency and bring transparency to performance. Axioma has received numerous accolades for its innovative technology, which serves as the centerpiece of its clients’ risk management strategy. In 2017 Axioma appeared on the Chartis RiskTech100® 2017, a ranking of the world’s most significant risk and compliance technology companies, and its founder and CEO, Sebastian Ceria appeared on Institutional Investor’s Tech 40 List of “Financial Technology Leaders” for the fourth consecutive year. Axioma was also named Risk Management System of the Year at the Global Investor Investment Excellence Awards and won the Best Risk Management Software Firm/Supplier category at the 2017 Hedgeweek Global Awards. Axioma is headquartered in New York, with offices throughout Europe and Asia-Pacific. The Axioma logos and product brands are trademarks/service marks of Axioma, Inc. For more information please visit www.axioma.com. Follow us on Twitter and LinkedIn.