OT - Portfolio Evaluation Software Recommendations

["Ray Gurke" <ray@xxxxxxxxx>]

I hoping get some advice/recommendations on software (either commercial or
home-grown) that will perform the following tasks:

As an example, assume I will be tracking 80 mutual funds. I will have the
monthly performance (either actual prices or percent return - whatever works
best) for each individual fund. I will only be invested in 25 of the 80
funds at any given time. My initial goal is to determine which 25 funds
would have given me the best return, with the least amount of risk, over a
given time period. My secondary goal is to determine if I could improve the
performance by switching the funds at the end of the month, based on some
yet undetermined criteria (either system based on price or equity curve
analysis).

1) would like it to build something similar to the Efficient Frontier
model -- depicting the universe of possible returns of differently combined
funds over a specified time period, in relation to the standard deviation of
returns.

2) would like it to be able to calculate (and list) the standard deviation
of return for each individual item in the portfolio.

3) would like it to optimize a given portfolio for the most efficient
allocation of funds to each item of the portfolio, based on Sharpe Ratio

4) would like it to calculate the covariance between every possible pair of
items in the portfolio, and list/sort the results. ...yes, I know this could
be a LONG list :-)


Any information, advice or software/utility recommendations would be very
much appreciated.

Thanks,

Ray