AW: OT - Portfolio Evaluation Software Recommendations

["VK" <volker@xxxxxxxxxxxxxx>]

Ray.

It sounds you are looking for WLD3. I would not be able to do all that
(since I am not a programmer) but I am confident that a good programmer
is able to do most of it in WLD3. We do have enhanced the portfolio
optimization feature (Gary should like it) and included the optimization
of a portfolio by your own criteria in WLD3. 
I am sure you could do all the comparison of your portfolio in WLD3 but
you might also want to use the export/import functions to Excel for
that. I have posted some links just today on this forum.

If you are in the Chicago area, you might want to drop by at the
TradersExpo in the Sheraton this weekend?

Regards.

Volker Knapp
Wealth-Lab Inc.


-----Ursprüngliche Nachricht-----
Von: Ray Gurke [mailto:ray@xxxxxxxxx] 
Gesendet: Monday, July 21, 2003 10:03 PM
An: omega-list@xxxxxxxxxx
Betreff: OT - Portfolio Evaluation Software Recommendations

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