Portfolio Maestro
RINA Technologies, LLC
8180 Corporate Park Drive, Suite 140
Cincinnati, Ohio 45242
(513) 469-RINA (7462)
sales@rinafinancial.com
www.rinafinancial.com
Overall Rating: 3 ½ of 4
LEVEL: Intermediate to Advanced
PRICE: $500/month or $5,000/year for the TradeStation-only, EasyLanguage-compatible version. $1,000/month or $10,000/year for the full version, which includes strategy construction in C#, Visual Basic and EasyLanguage.
Recommended System Configuration:
Windows XP or Vista (not Mac compatible), Internet connection required (for registration and security master updates), 1GHz processor or faster (the faster the better depending on backtest sizes), 512MB memory, and minimum hard drive space 5 GB (10GB recommended).
Overview:
Sophisticated quantitative research tools, once the domain of only the most exclusive proprietary trading shops with the most highly trained quantitative researchers, are now within grasp of the advanced individual trading enthusiast or small institutional asset manager with the recent introduction of RINA Technologies’ Portfolio Maestro. It seems that it was not too long ago – perhaps 10 years – that the research and development of highly quantitative and automated trading methods could only be achieved with tools built from scratch. Certainly, there were very few off-the-shelf solutions and absolutely no solutions representing anything close to a comprehensive quantitative research platform.
With Portfolio Maestro, such a solution is now available primarily for global equities (including ETFs), global futures and FX. At its core, Portfolio Maestro is a quantitative research platform that allows users to create trading strategies and apply risk management overlays to portfolios based upon an increasingly complex spectrum of indicators, factors, models and other “rules.” Launched in early 2008, Portfolio Maestro captures the typical workflow of quantitative research with its four primary components: Portfolios, Prices, Reports and Analysis. Furthermore, this general workflow is presented in a highly intuitive user interface that dramatically simplifies what is typically a very complex process. (See Figure 1 – “UI Overview”)
Key Features:
The first stage of the workflow is the creation of a Portfolio. This component is truly the guts of the platform where an unlimited number of strategies can be conceived, possibly grouped in a proprietary concept known as “system groups,” applied to symbol lists (or a target trading universe) and then combined with money management parameters (such as position sizing) to create portfolios. Settings for commissions and slippage assumptions, for example, are also included. For TradeStation users – a community for which Portfolio Maestro is perhaps initially designed – EasyLanguage code representing trading strategies can easily be copied from TradeStation 8.x or 2001i and pasted into Portfolio Maestro.
The second stage of the workflow, known as Prices, provides for the establishment of relevant market data for testing. Currently, Portfolio Maestro appears to be best suited for global equities and futures, although FX is also possible. Even options are conceivable, but quite cumbersome in the current version. Market data can be supplied to Portfolio Maestro by various sources, including: TradeStation 8.x, CSI’s Unfair Advantage, Bloomberg and text files. Theoretically, Portfolio Maestro is capable of using data from any vendor, subject to the development of feed handlers and/or parsers by RINA Technologies, which expects to add ThomsonReuters market data and others in 2009. RINA also offers services to customers around the integration of custom datasets. Currently, Portfolio Maestro appears to be best used with daily (or less frequent) datasets. Greater utility with intraday and tick datasets is scheduled as a high priority for upcoming releases.
The third and fourth stages, known as Reports and Analysis, respectively, include just about all conceivable manner of statistical outputs from backtests, including details from Monte Carlo and Walk Forward simulations, trade analysis, efficiency analysis, and an exhaustive amount of other slicing and dicing. Suffice it to say that these final stages of the research workflow represent the feedback loop, which is critical to evaluating all the creativity and hard work that goes into figuring out how to apply pattern recognition in global financial markets for profit.
Summary:
The previous comments only begin to scratch the surface of the capabilities of Portfolio Maestro and quantitative research tools, in general. Those who are serious about performing quantitative research, particularly users previously challenged by various barriers to this arena, should be encouraged by the improvement of vendor solutions, such as Portfolio Maestro, at reasonable prices.
Bear in mind, it remains a relatively new market and Portfolio Maestro is a formative stage of development, having been launched in early 2008. As might be expected in this formative stage, there are some drawbacks and limitations. For instance, while installing the application was straightforward, there were some minor snags. Also, the application (version 1.0.26, as reviewed) functioned best when in tandem with features related to TradeStation, and therefore, users working with C# and VB should expect to need some hand holding for the time being. Plus, since the training program is not yet finalized, do not expect this hand holding to be standardized or particularly efficient in the near term. Furthermore, if you are primarily interested in intraday, tick-based or option-based strategies, you may want to wait for a subsequent version. Lastly, seamless integration between research and “production” (i.e., – execution and order management systems) is not yet part of the current release.
All that said, Portfolio Maestro is clearly a useful tool for small shops and individuals who have a commitment to performing quantitative research. And, like most things, Portfolio Maestro should be expected to improve with age.
Portfolio Maestro is particularly attractive for its intuitive interface and workflow and because it enjoys a pricing level that is a fraction – perhaps 10-20% - of comparable platforms, while offering a relatively competitive level of features and functionality. Coupled with the goal of integrating execution functionality into an upcoming version of Portfolio Maestro which the company claims to be working on currently with various brokers, this tool is certainly worthy of consideration for one’s quantitative arsenal. At minimum, the next release promises a much better interface with Bloomberg and more flexibility with currencies.
In the end, through the highly iterative process of strategy development and back-test analysis, Portfolio Maestro allows users to focus on their art and minimize the distraction of finding the right tools for the job. Too bad the special sauce is not included.
Paul Rowady is the managing director of Alphacution LLC, a provider of business and market intelligence solutions and consulting to a broad range of trading, capital market and other corporate clients. Reach him at epr@alphacution.com