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/MIQCQP), 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 from the ground up, 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.

Feature Summary:

Optimization:

• Run long-only or long-short optimization strategies 
• Levered long-short optimization
• Ability to constrain the total portfolio long, short, and cash values

Objective Function:

• Mean-variance objective; supports both risk acceptance and risk constraint modes
• Optimize against absolute risk or active risk with respect to any benchmark
• Allows for linear or quadratic penalties for constraint violations (soft constraints). Includes: transaction costs, borrowing costs, and holding/exposure/trade/turnover/risk constraints

Risk Models:

• Seamless integration with in-house and third-party risk models
• Optimize against multiple risk models within a single optimization run -- multiple risk constraints or multi-risk acceptance

Holding Constraints:

• Specify absolute/benchmark relative maximum and minimum constraints
• Constraints on net, long, and short gross exposures to sectors, industries, risk factors, and/or arbitrary factors
• Soft constraints with ability to constrain the maximum violation
• Import holding constraint override files and specify compute expressions
• Specify minimum threshold holding sizes

Trading:

• Maximum trade sizeand turnover constraints, including soft constraints
• Threshold trade size specification 
• Ability to import linear or piecewise transaction cost models
• Security-specific short rebate costs
• Security-specific round lots

Position Counts:

• Upper and lower bound on the number of securities (cardinality constraints) 
• Specify cardinality constraints separately on long side, short side, and total

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