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."