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Typically, new PORTAX versions include one or two new features from our ongoing
future feature list. Occasionally, a new version will be dedicated to
maintenance issues alone. We encourage our subscribers to make requests for new
features. Below is a list of versions with added features for the last three years.
• Version 6.6 User Selected Factor Model
This allows selection of the regressors and their forecasted values in
the factor model in the Forecasts
Wizard.
• Version 6.7 Advanced Client Report Online
This allows an Advanced Client Report to be generated inside PORTAX
without relying on exporting data to
Excel as the original Advanced Client Report required. Both options
are available.
• Version 6.8 International Currencies
This allows PORTAX to run in any stable international currency. By
maintaining a user selected, small FX
table, the analytics and reporting can be easily switched among currencies.
• Version 6.9 International Tax Rates
This allows the top marginal individual and corporate tax rates for over
50 countries currently covering 193
tax jurisdictions to be used for after-tax analysis.
• Version 7.0 International Example Case Studies
This extends the basic PORTAX Example case study to 31 different
countries and their associated
currencies.
• Version 7.1 Maintenance Release
• Version 7.2 Economic Cycles and Shifts
This allows setting of positive and
negative growth rates per period for each asset's income return,
income standard deviation, capital gains return and capital gains
standard deviation. These growth
rates can then model economic cycles and shifts at the microeconomic and macroeconomic level.
• Version 7.3 Turnover Growth
This allows positive and negative growth per period for each asset's
turnover rate.
• Version 7.4 Management Fee Deduction %
This setting is the percentage of management fees that are tax
deductible. Depending on the tax
jurisdiction, some asset classes have management fees that are not 100%
deductible. This feature
also enables modeling of non-deductible percentage-based transaction costs.
• Version 7.5 Multivariate T Distribution
Multivariate T
Distribution is an addition to the simulator that generates random returns with
fat tails. The tails are controlled by the user selected degrees of
freedom ranging from 3 to 100.
•
Version 7.6 Multivariate Power Method Polynomial Distribution and
Simulator Diagnostics
Multivariate Power Method Polynomial Distribution is an
addition to the simulator that
allows setting individual asset skewness (tail asymmetry) and kurtosis (tail fatness) to
generate random
returns.
Simulator Diagnostics compares the simulated
parameters of random returns to the
parameters of the user selected multivariate distribution. This
assists in selecting sample size and
verifying the simulator is working correctly.
• Version 7.7 Simulator Sample Size, Forecasts Skewness/Kurtosis
and Extreme Data Points
Simulator maximum sample size is increased from 10,000 draws to 50,000
draws. This increases the
simulator accuracy by lowering the standard errors on sample estimates.
This assists with analytics
that are significantly non-normal.
Forecasts Wizard now calculates skewness and excess kurtosis for asset
time series and saves the results
in the Simulator/Distributions/Multivariate PM Polynomials Editor. This
provides historical estimates as
reference points when simulating multiple assets with differing statistical
distributions.
. Forecasts Wizard now has an optional Extreme Data Points
adjustment procedure to handle potential
data errors in asset time series. Commercially available asset time series
occasionally have bad data points
that can create invalid extreme statistical estimates and disrupt modeling.
• Version 7.8 Daily Periods Per Year and Day Calendar
Periods Per Year now includes Daily (365). The
full available options are Annual (1), Semi-Annual (2),
Quarterly (4), Monthly (12), Bi-Weekly (26), Weekly (52) and Daily (365).
The Daily (365) option also includes a companion two year Day
Calendar that enables days to be set on for
active days and off for non-active days such as holidays and weekends. With the
120 maximum periods
available, the Daily (365) option with the Day Calendar can schedule up to
120 active
days in a two year
window for analysis.
• Version 7.9 Forecasts Wizard and Manager and Index Testing Periods Per
Year
The Forecast Wizard generates per period asset returns based on actual
market trade days.
The available Periods Per Year options are Annual Returns (1), Semi-Annual
Returns (2),
Quarterly Returns (4), Monthly Returns (12), Bi-Weekly Returns (26), Weekly
Returns (52)
and Daily Returns (365).
Each asset return series in the Manager and Index Testing Module now has its own
Periods Per Year. The
available Periods Per Year options are Annual Returns (1), Semi-Annual Returns
(2), Quarterly Returns (4),
Monthly Returns (12), Bi-Weekly Returns (26), Weekly Returns (52) and Daily
Returns (365).
• Version 8.0 Forecasts Wizard and International Asset Class Return Time
Series
The Forecast Wizard now has International Asset Class Return Time Series
ranging from Annual Returns to
Daily Returns based on the specific market actual trade days. The Asset Classes for
each international market
are up to 100 pre-selected indices, ETFs and individual large cap securities. Currently, the
following 12
international markets are available:
Australia (AUS) EuroNext (EUR)
India (IND)
Taiwan (TWN)
Canada (CAN) Germany (DEU)
Japan (JPN)
United Kingdom (GBR)
China (CHN) Hong Kong
(HKG) Singapore (SGP) United
States (USA)
• Version 8.1 Forecasts Wizard and International Asset Class Return Time
Series
The Forecast Wizard now has 30 International Asset Class Return Time Series
ranging from Annual Returns to
Daily Returns based on the specific market actual trade days. The Asset Classes for
each international market
are up to 100 pre-selected indices, ETFs and individual large cap securities.
Currently, the following 30
international markets are available:
Argentina (ARG) Hong Kong (HKG)
Singapore (SGP)
Australia (AUS) India (IND)
South Africa (ZAF)
Austria (AUT) Indonesia (IDN)
South Korea (KOR)
Brazil (BRA) Israel
(ISR)
Spain (ESP)
Canada (CAN) Italy (ITA)
Sweden (SWE)
China (CHN) Japan (JPN)
Switzerland (CHE)
Denmark (DNK) Mexico (MEX)
Taiwan (TWN)
EuroNext (EUR) Netherlands (NLD) Turkey (TUR)
Finland (FIN) Norway (NOR)
United Kingdom (GBR)
Germany (DEU) Russia (RUS)
United States (USA)
• Version 8.2 International Tax Rates Updated for 2020
This allows the 2020 top marginal individual and corporate tax rates for over
50 countries currently covering
193 tax jurisdictions to be used for after-tax analysis.
• Version 8.3 Alpha Performance for Managed Assets
Alpha Performance measures the ability of a manager to outperform a passive
investment strategy given an
investor's specific portfolio targets, tax issues and spending patterns. Based on
your estimations for both
manager alpha income and alpha capital gains, the alpha performance measures
manager performance
using management fees and tax costs on a per period basis. Then utilizing the
Monte Carlo simulator can
generate alpha performance confidence intervals.
• Version 8.4 Q3 2020 Asset Class Return Time Series Update
This quarterly update is for 30 International Markets ranging from Annual Returns
to Daily Returns. Each
international market has up to 100 pre-selected assets consisting of indices, ETFs and
individual large cap
securities.
• Version 8.5 Q4 2020 Asset Class Return Time Series Update
This quarterly update is for 30 International Markets ranging from Annual Returns
to Daily Returns. Each
international market has up to 100 pre-selected assets consisting of indices, ETFs and
individual large cap
securities.
• Version 8.6 Margin Trading
Margin Trading allows an investor to borrow cash to leverage their portfolio by
investing in assets whose
total value exceeds 100% of their portfolio value. The amount of cash available
to borrow is based on
their portfolio value and the brokerage houses and security exchanges they trade
with. This creates a
portfolio that has a negative asset weight for the borrowed cash asset and a
total weight for all the
other assets that exceeds 100%.
• Version 8.7 Q1 2021 Asset Class Return Time Series Update
This quarterly update is for 30 International Markets ranging from Annual Returns
to Daily Returns. Each
international market has up to 100 pre-selected assets consisting of indices, ETFs and
individual large cap
securities.
• Version 8.8 Q2 2021 Asset Class Return Time Series and 2021
International Tax Rates Updates
This quarterly update is for 30 International
Markets ranging from Annual Returns to Daily Returns. Each
international market has up to 100 pre-selected assets consisting of indices, ETFs and
individual large cap
securities.
This updates the internal tax tables for the 2021 top marginal individual and corporate
tax rates for over 50
countries currently covering 163 tax jurisdictions.
• Version 8.9 Q3 2021 Asset Class Return Time Series
This quarterly update is for 30 International
Markets ranging from Annual Returns to Daily Returns. Each
international market has up to 100 pre-selected assets consisting of indices, ETFs and
individual large cap
securities.
• Version 9.0 Short Sales Trading
Short Sales Trading allows an investor to borrow securities to immediately sell.
The cash proceeds are
deposited in a reserve account to cover margin calls. Typically, short selling is
done either to further reduce
portfolio risk or to profit from a security with an expected future price loss.
The total market value of
available short sales is based on the portfolio value and the brokerage houses
and security exchanges
the investor trades with. Short sales create a portfolio that has negative asset
weights for the shorted
securities
• Version 9.1 Q4 2021 Asset Class Return Time Series
This quarterly update is for 30 International
Markets ranging from Annual Returns to Daily Returns. Each
international market has up tp 100 pre-selected assets consisting of indices, ETFs and
individual large cap
securities.
• Version 9.2 Futures Trading
Futures Trading allows an investor to trade Long and Short Futures within a
portfolio and additionally
construct Hedges and Cross Hedges with other assets. This involves setting
futures contract
Notional Value, Initial Margin and Maintenance Margin. User selected Leverage
controls the futures
return/risk exposure by adjusting cash reserves to cover margin.
• Version 9.3 Q1 2022 Asset Class Return Time Series
This quarterly update is for 30 International
Markets ranging from Annual Returns to Daily Returns. Each
international market has up to 100 pre-selected assets consisting of indices, ETFs and
individual large cap
securities.
• Version 9.3a Q2 2022 Asset Class Return Time Series
This quarterly update is for 30 International
Markets ranging from Annual Returns to Daily Returns. Each
international market has up to 100 pre-selected assets consisting of indices, ETFs and
individual large cap
securities.
• Version 9.3b 2022 International Tax Tables Update
This annual update is for the International Tax Tables that cover the top
marginal individual and corporate
tax rates in over 50 countries and over 160 tax jurisdictions.
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