SAGE SA unleashed the new version of Prospero Optimize and relaunched it as BlackSwan Financial Platform with new, powerful features.

Discover BlackSwan Financial Platform

The traditional mean-variance approach to portfolio optimization is true only if asset returns are Gaussian or if investors only care about mean and variance. In practice, investors care about extreme realizations. This means that returns are not distributed according to the Gaussian distribution:

BlackSwan Financial Platform provides you with a new approach to maximize returns and minimize losses during extreme market conditions.

BlackSwan Financial Platform uses a mathematical model to find the allocation, within a portfolio of financial assets, that maximizes the investor's expected return while minimizing his maximum loss. It helps maximize return during normal market conditions, minimize losses during extreme crashes, and maximize the gains during extreme rallies. 

Cash Deposits DCDs Loans IRS Forex
Structured
Products
Derivatives New issues IPOs Stocks Bonds
CDs FRNs T-Bills Convertibles Commodities Private
Equity
Funds Hedge Funds Islamic
products
Real Estate Artwork Direct
Investments

BlackSwan product coverage

Highlights

  • Improves on the classical mean-variance solution by taking possible extreme events into consideration
  • Maximizes the expected return for a fixed volatility while also minimizing the expected shortfall or also maximizing the expected windfall
  • Results in a considerable gain in Expected Shortfall/Expected Windfall (ES/EW) for a modest loss in Expected Return (E[R])
  • Provides greater diversification capabilities and can be used as an efficient risk management tool
  • Allows users to match a client’s risk appetite with different solutions (for example, Shortfall Optimize Portfolio (SOP) for risk-averse clients or Windfall Optimize Portfolio (WOP) for risk-taking clients) in addition to the efficient frontier (EF) used for clients who do not care about extreme risks

Web Enabled Dashboard

BlackSwan Financial Platform is also a user-friendly, web-enabled dashboard for client-facing finance professionals such as relationship managers, third-party asset managers, and family offices, and their clients.

Web Enabled Access

  • Manage and restrict both employee and client access over the web as needed
  • Provide web access with the highest encryption and latest security protocols

Potential Users

  • Asset managers
  • Relationship Managers
  • Portfolio Managers
  • Fund Managers