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SmartFolio Changelog

What's new in SmartFolio 3.2.4

Dec 6, 2013
  • New Aggregate by Period field is added to the Portfolio Construction dialog. The field contains options for aggregation of prices by calendar periods. Three choices are available: Do Nothing (no aggregation is performed), aggregate by Weeks and by Months. Calendar aggregation is especially convenient when historical prices are sparse and otherwise result in too many missing values in returns series.

New in SmartFolio 3.2.1 (Sep 19, 2013)

  • Bug fixes:
  • The bug in the determination of assets that are defined on in-sample periods during walk-forward optimization with expanding in-sample window - fixed. Due to this bug, SmartFolio could suddenly stop responding during optimization process.

New in SmartFolio 3.2 (Sep 19, 2013)

  • Parameter Estimation:
  • Proportional to volatilities estimate of expected returns is now available. Use it together with Zero correlations as covariance estimate to proceed to risk parity portfolio construction (see the next step below). Use other covariance matrix estimation methods to arrive at maximum diversification portfolio.
  • Portfolio optimization:
  • Instantaneous Sharpe ratio maximization (ISRM) is added to the list of SmartFolio optimization criteria. In order to build portfolio strategies described above, one should apply appropriate estimation methods and then run ISRM with zero weight in risk-free asset constraint (this is the most conventional choice, other constraints are also allowed).
  • Bug fixes:
  • Excel 2010 32-bit compatibility restored;
  • There were several bugs in the "no historical data" portfolio construction mode. All fixed.

New in SmartFolio 3.1.1 (Aug 21, 2013)

  • This update brings one more improvement to the process of walk-forward optimization. Previously, walk-forward optimization was applicable only to periods where all historical series were present. This limitation effectively excluded from analysis any portfolios with short-lived instruments, such as many ETFs.
  • Now walk-forward optimization process can be applied to the whole period where at least one portfolio component is defined. The only exception is the case where Portfolio Type = Analytical model and Shrink to Factor Model estimation method is used. In this case history is truncated to the period where all portfolio factors and at least one portfolio asset are present.

New in SmartFolio 3.1 (Aug 8, 2013)

  • Parameter Estimation:
  • Zero correlations option is now evailable in the covariance matrix estimates list. This is especially useful for testing risk parity strategies and other similar approaches that ignore correlations.
  • Exponentially weighted sample estimates are added. This option is of particular use in walk-forward optimization.
  • Walk-forward optimization options:
  • Expand in-sample window option is added, which allows use of all past history.

New in SmartFolio 3.0.88 (Jun 11, 2013)

  • Incorrect calculation of WFO in-sample and out-of-sample periods, which in some cases lead to early calculation break - fixed.

New in SmartFolio 3.0.86 (Nov 27, 2012)

  • Bug fixes:
  • Microsoft Office Security Update MS12-060 released on August 14 , 2012 caused problems with MSCOMCTL.OCX control library - fixed.

New in SmartFolio 3.0.85 (Nov 27, 2012)

  • Bug fixes:
  • Microsoft Office Security Update MS12-027 released on April 12 , 2012 caused problems with MSCOMCTL.OCX control library - fixed.

New in SmartFolio 3.0.83 (Nov 27, 2012)

  • Bug fixes:
  • SmartFolio failing to import dividend data from Yahoo!Finance due to change in the Yahoo dividend history page - fixed.

New in SmartFolio 3.0.82 (Nov 27, 2012)

  • Bug fixes:
  • Fix of incorrect calculation of parameter Mu (vector of expected returns) when risk-free rate and/or dividend yields are non-zero and one of the following two estimation methods is applied:
  • Shrink to GMV portfolio
  • Missing factor estimator.

New in SmartFolio 3.0.79 (Nov 27, 2012)

  • Bug fixes:
  • Incorrect calculation of WFO out-of-sample periods (influenced calculations only if out-of-sample period length was set equal to several days or less) - fixed. Now lengths of in-sample and out-of-sample periods are set in periods instead of calendar days.

New in SmartFolio 3.0.78 (Nov 27, 2012)

  • Bug fixes:
  • Incorrect import of dividend data from Yahoo!Finance due to another change in the Yahoo dividend history page - fixed.

New in SmartFolio 3.0.77 (Nov 27, 2012)

  • Bug fixes:
  • Incorrect import of split data from Yahoo!Finance due to changes in the Yahoo dividend history page - fixed.

New in SmartFolio 3.0.76 (Nov 27, 2012)

  • Compatibility:
  • Partial Excel 2010 support (custom ribbon icons currently can't be displayed)
  • Bug fixes:
  • Import from Yahoo!Finance error due to changes in the Yahoo dividend history page - fixed.

New in SmartFolio 3.0.68 (Jan 18, 2010)

  • Compatibility:
  • Windows 7 support
  • Bug fixes:
  • The "Could not load some objects because they are not available on this machine" error appears on some machines - fixed
  • Updates from Excel table work incorrectly in case of only one new data point - fixed

New in SmartFolio 3.0.66 (Jan 18, 2010)

  • Error during optimization with group constraints taken from MS Access database - fixed

New in SmartFolio 3.0.65 (Jan 18, 2010)

  • Microsoft Office 2007 SP2 compatibility

New in SmartFolio 3.0.60 (Jan 18, 2010)

  • Importing of long symbol lists from Yahoo!Finance (IE cache bug) - fixed

New in SmartFolio 3.0.40 (Jul 2, 2008)

  • The Black-Litterman model
  • Walk-forward optimization
  • Import from Bloomberg Professional
  • Import from an Excel table
  • Batch import
  • Automatic update from all data sources
  • Vista support