Pengana Optimiser

The Pengana Optimiser is a mean variance optimiser that can be used as a tool when constructing portfolios. For a set of underlying assets, which may be chosen by the user, it calculates the portfolios that provide the maximum returns for a given level of risk.

Inputs required are the monthly or daily returns for the underlying assets. The weights to each underlying asset can be constrained within upper and lower bounds. The optimiser produces a frontier of efficient portfolios and demonstrates how the asset allocation varies across the frontier. Minimum risk, maximum return or maximum reward to risk portfolios can be selected from the frontier.

The optimisation software (“model”) provided by Pengana Capital Ltd (ABN: 30 103 800 568, Australian financial services license number 226566) (“Pengana”) does not contain any investment recommendation or investment advice. any results are indicative only and do not specify or summarise all of the information which may be relevant to an investment decision Neither Pengana nor its related bodies corporate or their directors, officers, employees, agents, advisers or associates (“Pengana Associates”) guarantee or warrant the outcomes generated by the model and each recipient of the model is responsible for forming its own opinion as to the possible financial outcomes. While care has been taken in the preparation of the Model, Pengana makes no representation or warranty as to the accuracy or completeness of the model including, without limitation, any coding, methodology or inputs. Pengana is not responsible for the provision of any corrections, updates or new versions of the model. To the maximum extent permitted by law, Pengana expressly disclaims all or any liability which may arise out of the provision to, or use by, any person of the model.

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