More return for every unit of risk.
Portfolio construction and risk management that prices the friction the market actually charges — higher moments, taxes, and transaction costs — and shapes the result to your own preferences and beliefs.
The Optimizer reads a portfolio's factor bets and recommends the buys and sells that move it toward a better position — not against a stylized benchmark, but against the securities you actually hold. It runs on Northfield's risk models or on any third-party model you bring, and it reads every position bottom-up: fundamental, macroeconomic, and near-horizon risk considered together.
Every recommendation carries the real friction of trading. The Optimizer incorporates transaction costs, taxes across multiple accounting conventions, and a wide range of user-imposed constraints — minimum and maximum trade sizes, turnover ceilings, the number of assets held, and tilts toward any variable you define.
A better portfolio, inclusive of the frictions the market actually charges.
Cost control is non-linear. Rather than treating trading as a flat penalty, the Optimizer models non-linear transaction-cost functions and cross-market impacts, then applies a patented Monte-Carlo re-sampling process to sharpen analysis, portfolio construction, and transaction-cost minimization.
And it scales. Solve one account interactively, or batch thousands for back-testing, multi-portfolio production, and automated reporting — the same engine, from a single desk to a firm-wide manufacturing process.
Construction, cost, and scale — in one engine.
Construction
Build toward the portfolio you intend — not the one a benchmark implies.
Construct and rebalance position by position, long or short, solving to a specified maximum tracking error against the securities you actually hold.
Cost & tax
Price the friction before you trade — turnover, impact, and tax together.
Model non-linear transaction costs and cross-market impact, then apply patented Monte-Carlo re-sampling to minimize cost while staying tax-aware across accounting conventions.
Automation
One account or many thousands, through the same controlled process.
Solve interactively at the desk, or batch thousands for back-testing, multi-portfolio production, and automated reporting — the same engine, end to end.
Every optimization, fully accounted for.
The Optimizer doesn't hand back a black box. Each run decomposes the recommended portfolio into the risk, return, and trades behind it — with re-sampled confidence intervals, so you can read how much of the improvement is signal.
- 01Absolute risk, tracking error, VaR and drawdowns
- 02Factor risk and return decomposition
- 03Stock-specific risk and return
- 04Stock marginal risk and return contributions
- 05Industry, sector, and user-defined variable exposure
- 06Exposure to constrained variables
- 07Recommended optimal portfolio and trades
- 08Ten most valuable trades, joint and separate
- 09Re-sampled tracking-error confidence intervals
- 10Probability of portfolio improvement
- 11Position-size confidence intervals
- 12Active weights and implied returns
Northfield risk — or bring your own.
The Optimizer integrates with Northfield's risk models or any third-party model, and lets you introduce any external factor model with full access to the underlying data. Feed it your own forecasts for security-specific and factor returns; it optimizes against what you believe, not against a fixed house view.
Institutional construction
Time-tested risk models and optimization used to identify, measure, and control risk as part of the portfolio-construction process — direct from Northfield or through distribution partners.
Tax overlay at scale
Tax-overlay strategies and firm-wide rebalancing, using Northfield's Open tax-optimization engine to trade off risk, return, and taxes one account at a time or in batch.
Inside the workflow
The Optimizer is available within FactSet for rebalancing by institutional managers and for tax-overlay strategies, alongside Northfield's short- and long-term risk forecasts.
Front-to-back
The risk models and optimization engine are integrated into the MX.3 platform, letting investment professionals run risk management and portfolio construction inside their front-to-back workflow.
Build the better portfolio.
More return for each level of risk — and the accounting to prove it.
See the Optimizer run against your own book: your models, your constraints, your tax conventions. We'll walk through the trades it recommends and the confidence behind them.
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