In 2023, ISORF launched the All-Index Portfolio risk-Optimisation Modeller (AIPOM), the standalone app delivering built-in portfolio risk models capitalising on a state-of-the-art optimisation engine aimed to handle both Factor exposure and market timing models.

According to our empirical results, the Momentum Factor, the Growth Factor and the Volatility Factor perform best in the long run.

AIPOM complements the basic Factors’ arsenal with further analysis dimensions: analysts consensus, sentiment indicators and money flow indicators. 

Besides this widened analysis dimensions hyperspace, another AIPOM distinguished feature is the capability of combining all said analysis dimensions in the optimisation & assessment process, as well as the constraints stemming from fund industry standards (diversification) and cost effectiveness goals (rebalancing costs containment).  

The user chooses where to position itself within the conservativeness scale and picks up the benchmark (exchange market) to be exposed to. On top of that, the customisation extends to the risk profile constraints and the inclusion/exclusion lists defined at single-stock level.     

The fully-customised model can be simulated on a multi-year observation period in order to check its feasibility based on the ex-post metrics. If and when the user is satisfied with its own model, this can be “put in production”, meaning that it gets automatically refreshed based on up-to-date market data.