Feature

Individual License

Corporate License

Supported Excel versions

Excel 2003/XP/2000



Excel 2007



Data management

Import from a text file



Download from Yahoo!Finance service



Import from an Excel table (new!)



Import from Bloomberg Professional (new!)



Automatic update from all 4 sources (new!)



Connection to MS Access database



Portfolio construction

Maximum number of portfolio components

64

Excel 2003/XP/2000 
240

Excel 2007 
16368


Option for selecting the riskless asset



Option for selecting factors for a factorbased asset pricing model



Analytical environment for portfolio analysis, based on expected returns and covariances



Historical environment for portfolio analysis



Estimation of parameters

Standard sample estimates



Stambaugh combinedsample estimates



Jorion estimate of expected returns



LedoitWolf estimate of the covariance matrix



PastorStambaughWang joint estimate of expected returns and covariances



MacKinlayPastor joint estimate of expected returns and covariances



The BlackLitterman model (new!)



Historical simulations

Simulations of portfolio strategies with continuous rebalancing.



Simulations of portfolio strategies with continuous rebalancing and portfolio insurance



Simulations of portfolio strategies with "inaction region" rebalancing



Simulations of portfolio strategies with "inaction region" rebalancing and portfolio insurance



Portfolio optimization

Optimization based on expected returns and covariances



Optimization performed directly on historical data



Maximization of an expected utility with constant relative risk aversion



Minimization of a target shortfall probability



Benchmark tracking



Worstcase scenario optimization



Walkforward optimization (new!)



Various constraints on portfolio structure and performance



IPOPT optimization engine



Efficient frontier construction

Construction of the efficient frontier based on expected returns and covariances



Construction of the efficient frontier performed directly on historical data



Target shortfall probabilities analysis

Calculation of shortfall probabilities based on expected returns and covariances



Calculation of shortfall probabilities performed directly on historical data



Implementation of the block bootstrapping algorithm



ValueatRisk analysis

Calculation of VaR and CVaR based on expected returns and covariances



Calculation of VaR and CVaR based on the empirical distribution



Calculation of VaR and CVaR based on the implied normal distribution



Calculation of VaR and CVaR based on the implied noncentral tdistribution



Calculation of VaR and CVaR based on CornishFisher expansion



Implementation of the block bootstrapping algorithm


