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RECURA Financials offers portfolio optimization and management services targeted at asset management companies that are looking for an alternative approach that provides better results.

The RECURA portfolio optimization model is a proprietary alternative approach to the standard industry based mean-variance optimization used in almost all optimization software available commercially and used by most funds. The RECURA model uses the most advanced techniques and methods in finance and financial econometrics to perform its optimization with impressive results on actual market data.

The RECURA model avoids the trappings of the standard mean based models because it does not use the mean returns as a measure, but rather breaks down the full return distribution and analyzes each percentile of asset returns in the investment universe. Thus, it improves the analysis of past and possible future performance and provides a better allocation of funds for your portfolio.

In order to create the best portfolios, the model uses the most advanced measures of dynamic dependency between specific assets. The model does not make the wrong assumption of normality in financial returns and subsequently does not use correlation as a measure of dependency but rather uses concordance measures derived from copula functions. It also looks at dependencies both for losses as well as gains. Thus it is able to discriminate between “good” dependencies and “bad” ones and thus maximizes your returns while minimizing losses. So, the model strongly favors gains while reducing losses by increasing the deviation towards higher returns.

By avoiding the assumption of normality when measuring risk, the model moves away from the standard risk measure of standard deviation and uses alternative coherent measures of risk which only look at the losses part of the return distribution and minimizes that, while at the same time allowing for higher returns to be favored in terms of portfolio weights.

For detailed results of the performance of the RECURA model with actual market data, please contact us.