Global asset management firm Schroders has enhanced its
in-house portfolio construction tool.
The Smart (Schroders Multi-Asset Risk Technology) system is a
highly flexible, open architecture toolset application that
produces optimal portfolios relative to a variety of
client-specified investment benchmarks. It also reports on
portfolio risks.
Essential to Smart's portfolio construction capabilities are
various numerical algorithms, required by Schroders' staff to
create portfolios that trade-off return and risk.
For this aspect, Schroders went to numerical algorithm expert
NAG to provide the numerical routines to support staff
calculations.
David King, head of investment risk at Schroders, said, "The new
functionality we have introduced into Smart allows our portfolio
managers to fine tune their portfolios in terms of expected return,
risk and diversification."
Shezad Lakha, quantitative analyst within the multi-asset team
at Schroders, said, "Using NAG has increased our computational
power considerably. We can now create 20 optimal portfolios in the
same time it used to take us to create one."
