PORTAX After-Tax Portfolio Analysis

The PORTAX financial engine consists of two parts.  The first part is the after-tax. multi-period optimizer.  This creates portfolios with specific per period asset weights based on the expected returns, standard deviations, correlations, and other details set in the Input Editors.

The second part is the Cash Projections which forecasts the per period performance of a specific portfolio based on its per period asset weights.  Due to the complex, non-linear nature of after-tax investing, the exact statistical distributions of a specific portfolio's performance are unknown.

PORTAX includes a comprehensive Monte Carlo Simulator to create empirical statistical distributions for a specific portfolio's performance given its per period asset weights:

•  Expected asset returns are replaced with random draws from a user
     selected multivariate distribution: Normal, Lognormal,
     Multivariate T or Multivariate Power Method Polynomials.
     The selected distribution is based on the asset
     returns, standard deviations and correlations set in the Input
     Editors

•  For more detailed modeling, the Multivariate Power Method
     Polynomial Distributions allow individual asset skewness and
     kurtosis to be set.  This models the asymmetry and fatness of
     each asset's left and right tails.  In financial modeling, accurate
     modeling of asset tails can be important to evaluating portfolio
     performance.

•  A user selected sample size is set between 500 and 50,000 draws.
    One draw is a complete Cash Projection recalculated with per period
    randomized asset returns.

•  Simulator Diagnostics are available which compare the simulated
    parameters of the randomized returns to the expected parameters
    of the selected multivariate distribution.  This assists in selecting an
    appropriate sample size and ensuring the simulator is performing
    as expected.

•  There are 64 different performance calculations that can be
     simulated from both the After-Tax Optimizer and the Cash
     Projections analytics.

•  The Client Reporting System automatically embeds a number of
     Monte Carlo simulations in the client reports.

For technical details on the PORTAX Monte Carlo simulator please refer to the Help Text.