Portfolio Probe version 1.04 is out
The official release of version 1.04 is now available. The most important changes fall into the four areas described below.
Variance partitions for categories
Sector and country constraints are quite common. These constrain the weights in the various categories in order to control risk. Portfolio Probe has the ability to impose constraints on the variance attributed to each category -- bypassing the weight proxy and actually doing what is envisioned.
Asset-portfolio correlation
Version 1.04 has a few generalizations of the idea of risk fraction. One that seems like it might hold some interest is the correlation between each asset and the portfolio. Not allowing a high correlation is one idea of diversity. A blog post on that idea is http://www.portfolioprobe.com/2012/05/07/portfolio-diversity/.
Valuation
The valuation function had a thorough overhaul for 1.04 and now is much more useful. The main improvements:
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will now compute log or simple returns
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can do calculations by category (by sector, for instance)
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will accept a three-dimensional array for prices (from a scenario generation)
Transaction costs
A user requested the ability to have non-linear trading costs where each asset has its own set of exponents. The request was gladly fulfilled.
Blog highlights: better fund management
I don't see Portfolio Probe as just a piece of software. I see it as a means of improving how fund management is done. Blog posts that are aimed at such improvement include:
Blog highlights: variability
Another theme running through the blog is that variability is often ignored (when it shouldn't be). Blog posts on this topic include:
Thank you for your interest in Portfolio Probe.
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