Key updates include multi-core optimisation for shorter optimisation run times, improvements for tax-aware portfolio rebalancing, and new enhancements to the Optimizer’s Web Service and Python API.

“The latest enhancements to the Optimizer are in response to our customers’ need for faster, more responsive solutions that help them make incremental yet impactful adjustments to their investment portfolios as competition stiffens,” said Pamela Vance, Managing Director, Applications Development at Axioma.

The Optimizer’s new multi-core optimisation functionality will allow customers to improve the run time for an average mean-variance optimisation by up to 50 percent when using 4-8 cores. For special mean-variance optimisation problems, such as multi-period and multi-portfolio, performance can improve by as much as 2-4 times. This update offers enhanced responsiveness for customers performing time-sensitive intraday rebalancings. Key use cases include clients optimising large batches of portfolios overnight who will benefit from improved process reliability, and research teams who stand to take hours off of large backtesting studies.

The enhancements to the Optimizer’s functionality for tax-aware portfolios were made in response to growing demand from both private wealth managers, and tax-sensitive mutual fund and ETF clients. Private wealth clients are seeking to serve a broader range of investable assets by achieving scale through technology, while mutual fund and ETF clients are increasingly focused on improving their tax-efficiency.

Updates include:

- Improved solution quality for portfolios with complex tax considerations
- New constraint options that enable users to prevent the sale of individual tax lots
- Ability to export tax-aware reports embedded with a portfolio’s tax information, such as rate and accounting method
- A streamlined workflow for creating batches of rebalancings and implementing ad-hoc strategy changes

Following the initial launch of the Optimizer’s Web Services and Python API in January, Axioma has added a host of new features. Users can now:

- Create and edit tax-aware portfolios and compute tax-related analytics
- Use additional analytics in the Optimizer’s web service and Java API
- Constrain risks using Axioma’s proprietary alpha factor
- Generate standard risk reports and execute batches of rebalancings

The Python API was the most widely requested feature for the Optimizer by customers to date.