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Investment technology for the 21st century.
Portfolio Probe version 1.02 released

Version 1.02 of Portfoliio Probe is now released.  One of the most visible changes is the addition of weighted sums of squares distances.  The usefulness of this was discussed in the "Goldilocks and the 3 Pigs" talk:

Another useful change was to make the valuation of optimized portfolios more convenient.

Also useful (but boring) were the elimination of a few bugs and the improvement of some error messages.

Why Portfolio Probe?

Portfolio Probe does two things:

  • generates random portfolios
  • optimizes trades
There are many uses of random portfolios, but they have most impact for:
  • performance measurement and attribution
  • testing risk models
  • general quant tool (including backtesting)
There are two major divisions for the portfolio optimization:
  • mean-variance type (includes maximize information ratio)
  • minimize distance from an ideal target portfolio
The last item on distance optimization is the reason for the sum of squares addition to version 1.02 that is highlighted above.

Free to academic departments

Portfolio Probe is now available free for academic use -- both for teaching and for research.  See the Portfolio Probe website for details.

From the blog

There have now been thirty-something posts in the Portfolio Probe blog.  Most of the posts fall into one of the categories:

  • explanation of quant concepts
  • ideas and mysteries concerning fund management
  • book reviews
However a few of the posts involve the Portfolio Probe software.  These were:  which responds to a paper that talks about performance measurement (among other topics).  discusses an article in the Financial Times and talks about how random portfolios can identify the opportunity that fund managers have to outperform. introduces the use of random portfolios for backtesting.  describes what greedy algorithms are and a bit about their use in Portfolio Probe.

RSS feed

The RSS feed is only to follow the blog.  There is only email signup (on the Portfolio Probe website) for this newsletter.  There is a separate email signup for the Portfolio Probe users' support list.

Thank you

Thank you for your interest in Portfolio Probe.  Best wishes for the new year.

2011 December

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