Portfolio Analyzer

With Macroaxis Portfolio Analyzer investors can get a very unique glance at the basic characteristics of all their current positions across multiple portfolios, determine diversification level, establish rebalancing strategy, and analyze how well their portfolios are adding up to meet their overall financial goals.

Portfolio Analyzer evaluates positions based on the probability distribution of portfolio's returns and calculates VaR along with risk, expected return, and efficiency ratio.This model assumes that changes in a portfolio's value and returns are distributed in accordance with a multivariate normal distribution.

Importance of risk-adjusted return

Before comparing or considering investments, it is better to perform a risk-adjusted return calculation that will adjust the returns according to how risky the investments are. The riskier they are, the more the returns are lowered before any comparison. Technically risk refers to mean volatility, which measures returns vary a given period of over time. An investment or a portfolio that grows steadily has low risk, and another investment whose value jumps up and down unpredictably has high risk.
Please note that changing model inputs can significantly alter your desired optimal asset allocation. Make sure you carefully select your inputs before running the model !

Please note, the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX) have recently merged. Although Macroaxis has implemented solutions to handle this transition gracefully, you may still find some securities that may not be fully transferred from one exchange to another.