High-performance optimizer enhances market-leading investment management platform

ClariFI Portfolio Optimizer (CPO) is a state-of-the-art mixed integer optimization module designed to help users rapidly solve the most challenging real-world portfolio construction and rebalancing problems. Based on the latest academic research and cutting-edge optimization technology, CPO delivers the full range of functionality and flexibility needed for portfolio managers to minimize business risk, increase operational efficiency, and improve strategic investment decision-making.

Key Benefits:

• Unmatched Speed, Accuracy – Integrating the latest academic research in mixed integer quadratic programming (MIQP), CPO effectively solves the mean-variance optimization problem in its native form, ensuring fast, accurate results.
• Seamless Integration - Fully integrated into ModelStation's historical simulation and production optimization workflows, CPO allows users to quickly take investment ideas from conception to backtesting to production portfolio construction, without the burden of translating data between disparate systems.
• No Compromises - Built using cutting-edge optimization technology, CPO is an open, flexible, and scalable solution in which any alpha model, risk model, or transaction cost model can be used, so there is no vendor lock-in.

Key Features:

Objective Function:

• Mean-variance objective, optionally including transaction costs, borrowing costs, and linear or quadratic penalties associated with soft constraints
• Risk-constrained objective function
• Piecewise linear transaction costs

Real-world constraints:

• Threshold trade and position sizes
• Upper and lower bounds on long and short position counts
  Constraints on long and short gross exposures to sectors, industries, or arbitrary factors
• Leverage Constraint for long-short portfolios
• Security-specific short rebate costs
• Security-specific round lots

CPO can be used as part of our integrated solution or as a stand-alone product.