- New Aggregate by Period field is added to the Portfolio Construction dialog. The field contains options for aggregation of prices by calendar periods. Three choices are available: Do Nothing (no aggregation is performed), aggregate by Weeks and by Months. Calendar aggregation is especially convenient when historical prices are sparse and otherwise result in too many missing values in returns series.
- The bug in the determination of assets that are defined on in-sample periods during walk-forward optimization with expanding in-sample window - fixed. Due to this bug, SmartFolio could suddenly stop responding during optimization process.
This update is devoted to risk-based portfolios. Namely, it allows for backtesting of risk parity and maximum diversification portfolio strategies subject to arbitrary constraints. Due to dynamic nature of the above strategies, the most appropriate mechanism for their backtesting is walk-forward optimization. In order to bring this functionality to SmartFolio, the following features were added:
- Proportional to volatilities estimate of expected returns is now available. Use it together with Zero correlations as covariance estimate to proceed to risk parity portfolio construction (see the next step below). Use other covariance matrix estimation methods to arrive at maximum diversification portfolio.
- Instantaneous Sharpe ratio maximization (ISRM) is added to the list of SmartFolio optimization criteria. In order to build portfolio strategies described above, one should apply appropriate estimation methods and then run ISRM with zero weight in risk-free asset constraint (this is the most conventional choice, other constraints are also allowed).
- Excel 2010 32-bit compatibility restored;
- There were several bugs in the "no historical data" portfolio construction mode. All fixed.
This update brings one more improvement to the process of walk-forward optimization. Previously, the latter was applicable only to periods where all historical series were present. This limitation effectively excluded from analysis any portfolios with short-lived instruments, such as many ETFs.
Now walk-forward optimization process can be applied to the whole period where at least one portfolio component is defined. The only exception is the case where Portfolio Type = Analytical model and Shrink to Factor Model estimation method is used. In this case history is truncated to the period where all portfolio factors and at least one portfolio asset are present.
Several simple, but highly demanded functional enchancements are made, which bring even more power to walk-forward optimization.
- Zero correlations option is now evailable in the covariance matrix estimates list. This is especially useful for testing risk parity strategies and other similar approaches that ignore correlations.
- Exponentially weighted sample estimates are added. This option is of particular use in walk-forward optimization.
Walk-forward optimization options
- Expand in-sample window option is added, which allows use of all past history.
- Incorrect calculation of WFO in-sample and out-of-sample periods, which in some cases lead to early calculation break - fixed.
- Microsoft Office Security Update MS12-060 released on August 14 , 2012 caused problems with MSCOMCTL.OCX control library - fixed.
- Microsoft Office Security Update MS12-027 released on April 12 , 2012 caused problems with MSCOMCTL.OCX control library - fixed.
- SmartFolio failing to import dividend data from Yahoo!Finance due to change in the Yahoo dividend history page - fixed.
- Fix of incorrect calculation of parameter Mu (vector of expected returns) when risk-free rate and/or dividend yields are non-zero and one of the following two estimation methods is applied:
- Shrink to GMV portfolio
- Missing factor estimator.
- Incorrect calculation of WFO out-of-sample periods (influenced calculations only if out-of-sample period length was set equal to several days or less) - fixed. Now lengths of in-sample and out-of-sample periods are set in periods instead of calendar days.
- Incorrect import of dividend data from Yahoo!Finance due to another change in the Yahoo dividend history page - fixed.
- Incorrect import of split data from Yahoo!Finance due to changes in the Yahoo dividend history page - fixed.
- Partial Excel 2010 support (custom ribbon icons currently can't be displayed)
- Import from Yahoo!Finance error due to changes in the Yahoo dividend history page - fixed.
- The "Could not load some objects because they are not available on this machine" error appears on some machines - fixed
- Updates from Excel table work incorrectly in case of only one new data point - fixed
- Error during optimization with group constraints taken from MS Access database - fixed
- Microsoft Office 2007 SP2 compatibility
- Importing of long symbol lists from Yahoo!Finance (IE cache bug) - fixed
- Batch import from Yahoo!Finance and text files;
- Import from an Excel table (either prices or returns);
- Import from Bloomberg Professional;
- Automatic update from all 4 sources;
- Separate storage of asset prices and correction values such as dividends and splits.
- The Black-Litterman model
- Fully automatic walk-forward optimization as a new option in the Portfolio Optimization dialog
SmartFolio Professional Edition version 2.0.2.
- Sometimes "Type Mismatch" error is generated during portfolio construction if Access is selected as a data source - fixed.
- Can't change path to the database file in Options dialog - fixed.
- Minor bugs in TreeView dialog - fixed.
SmartFolio Professional Edition version 2.0.1.
- The Text File Import procedure improved to support wider range of date formats.
- "Type Mismatch" error that appears during IPOPT optimization on machines with non-English Windows Regional Settings - fixed.
- Corrupted Conditional Formatting on machines with Excel 2007 and non-English Windows Regional Settings - fixed.
- "Type Mismatch" error in Bootstrapping dialog on some machines with non-English Windows Regional Settings - fixed.
- A chart Task Pane sometimes appears after opening a previously saved smartbook in Excel 2007 - fixed.
- The Text File Import procedure fails to automatically recognize date format - fixed.
SmartFolio Professional Edition version 2.0.
- Full support for Excel 2007 including:
- Greatly improved look of charts and tables
- Maximum portfolio size is now 16368 (Corporate License only)
- Enhanced conditional formatting
- Custom task panes in charts
- Ribbon panel
- Now there is only one place to set portfolio weights. These portfolio weights are then used both in analytical model calculations and in historical simulations.
- Bug of not taking into account lower bounds on portfolio weights during Solver optimization - fixed.
- Formatting bug in main table that appears if non-cash risk-free asset is selected during portfolio construction - fixed.
- Bug that appears when trying to delete the last asset in the Manage Assets dialog - fixed.
SmartFolio Academic Edition version 1.0.3.
- Reduced installation package size - flash tutorials now downloaded from the Web.
- Bug of not taking into account lower bounds on portfolio weights during optimization - fixed
- Formatting bug in main table that appears for non-cash risk-free asset - fixed
- Bug that appears when trying to delete the last asset in Manage Assets dialog - fixed.
SmartFolio Professional Edition version 1.0.2.
- Userforms Tab order functionality improved
- Bug in Manage Groups dialog fixed
- Incorrect handling of "Microsoft Excel is not installed" situation fixed
SmartFolio Professional Edition version 1.0.1.
- IPOPT Options dialog redesigned to show more available options
- Flash tutorials updated to reflect recent changes
- Historical optimization bug fixed
- Minor bug in Manage Assets dialog fixed