Investment Analysis & Proposal Engine
Comprehensive portfolio optimization powered by Kelly Criterion with Higher Moments, utilizing TOC-23's proprietary Capital Market Assumptions. Import existing portfolios, classify holdings, optimize allocations, and export client-ready proposals.
Tax Configuration
Federal income character per asset class with dynamic state overlay. All cells are editable — adjust to match your client's specific situation. Effective rate auto-calculates.
proxy.php so the secret never appears in the URL.| Asset Class | Ordinary % | LTCG/QD % | Tax-Exempt % | Deferred % | State Applies? | Eff. Rate |
|---|
Capital Market Assumptions
These assumptions drive the entire analysis — efficient frontier optimization, Monte Carlo simulation, and portfolio comparison. Adjust the business cycle, time horizon, include/exclude asset classes, set allocation constraints, and add alpha overlays. Changes propagate immediately to all calculations.
Asset Class Configuration
Toggle include/exclude, set min/max allocation constraints (%), and add alpha overlays. Cycle adjustments are applied automatically based on the business cycle selection above.
| Use | Asset Class | Geo Return | Std Dev | Cycle Adj | Adj Return | Min % | Max % | Tax α | Diligence α | Option α | Skewness | Kurtosis |
|---|
Return vs. Risk
Adjusted Returns by Asset Class
Correlation Matrix
Pairwise correlations for included asset classes. Darker = higher positive, red = negative.
Import Portfolio Positions
Upload custodian statements or previously scrubbed files. Supports Excel (.xlsx/.xls/.csv), PDF, and JSON. Files are parsed in-browser, displayed in an editable spreadsheet for QC, then exported to Excel or JSON for archival. Re-upload scrubbed files to restore your work.
Add Positions Manually
Current Portfolio Analysis
Portfolio allocation across CMA asset classes. Populated from Import tab or enter manually below.
Current Allocation (%)
Kelly Criterion Efficient Frontier
g(w) ≈ μp − (λ·σp²)/2 + (S3·σp³)/(6·λ) − (K4·σp⁴)/24
How Kelly Optimization with Higher Moments Works ↓
The Kelly Criterion was originally developed to determine optimal bet sizing in information theory. Applied to portfolio management, it maximizes the expected logarithmic growth rate of wealth — the allocation that makes your portfolio grow fastest over time while accounting for the compounding drag of volatility.
The standard Kelly formula is simple: g(w) = μ − σ²/2, where the optimal portfolio maximizes expected return minus half the variance. This captures the key insight that volatility destroys compound growth — a portfolio that gains 20% then loses 20% doesn't break even, it loses 4%.
Higher Moments extend this framework to account for real-world return distributions that aren't normally distributed:
Skewness (S⊂3) — Measures asymmetry. Negative skewness (most equity and credit asset classes) means large losses are more common than large gains. The formula adds S⊂3·σ³/(6·λ), which penalizes negatively-skewed assets and rewards positively-skewed ones like managed futures.
Excess Kurtosis (K⊂4) — Measures tail thickness. Higher kurtosis means more extreme events. The formula subtracts K⊂4·σ⁴/24, penalizing fat-tailed distributions where catastrophic losses (or gains) occur more frequently than a normal distribution predicts.
The λ (lambda) parameter controls risk appetite. Higher λ values scale down risk — λ=8 produces conservative allocations suitable for capital preservation, while λ=0.6 approaches full Kelly and maximizes long-run growth rate at the cost of significant volatility.
After-tax optimization applies asset-class-specific effective tax rates before computing the growth rate, ensuring the frontier reflects what investors actually keep rather than gross returns. This naturally favors tax-efficient structures like municipal bonds, qualified dividends, and deferred-gain strategies.
The five portfolios on the frontier (Conservative λ=8, Mod. Conservative λ=5, Moderate λ=3, Growth λ=1.8, Aggressive λ=0.6) each contain ≥10 asset classes with ≥7 overlapping between adjacent portfolios for implementation stability.
Portfolio Comparison Matrix
Side-by-side comparison across key risk, return, and tax metrics.
Return Comparison
Risk Metrics
Monte Carlo Simulation
25-year forward projection, 5,000 simulations at P25, P50, P75 confidence intervals.
TOC-23 Approved Investment Platform
Fund-level implementation sourced through TOC-23 and vetted through Fiducient Advisors.
Asset Class to Fund Mapping
Portfolio Construction & Manager Selection
Implementation portfolio built from the TOC-23 approved manager lineup. Select a Kelly-optimized portfolio from the dropdown to populate CMA-driven sub-class weights. Managers with fixed allocations (% of parent group) hold steady; Kelly-driven positions are proportioned by the optimizer. Upload a new manager spreadsheet to override defaults.
| Major Asset Class | Sub Asset Class | Manager | Strategy | Ticker/SMA | Status | Alloc Mode | Alloc % | $ Amount | Exp Ret | Mgmt Fee | Perf Fee | Yield | Tax α | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio Total | 0.0% | $0 | — | — | — | — | — | |||||||
Implementation Allocation
Implementation vs. CMA Weights
Asset Location
Place each asset class into taxable or tax-protected entities to maximize after-tax return. Tax-inefficient assets (ordinary income, HFs, REITs) belong in tax-protected entities; tax-efficient assets (munis, SMAs with tax alpha, PE) belong in taxable accounts. Private-investment-eligible entities are required for PE/PC/Private RE allocations.
Step 1: Define Entities
Add the accounts / trusts / entities the client uses. Sum of sizes should approximate the portfolio value.
| Entity Name | Size ($) | Tax Status | Private-Eligible | Income Target ($/yr) | Actions |
|---|---|---|---|---|---|
| Entity Total | $0 | $0 | |||
Step 2: Generate Placement
Use the deterministic heuristic (tax-inefficiency × tax-shelter value) or call Claude for a narrative-driven allocation. You can override any cell in the matrix below.
Step 3: Placement Matrix (Editable)
Rows = asset classes from the selected proposed portfolio. Columns = your entities. Values are dollars. Color coding: green cells are in-range, amber near limit, red over-capacity or misaligned with private-eligibility.
Step 4: Flowchart
Sankey-style visual of the placement. Left = asset classes (sized by dollars), right = entities. Click a flow to edit its allocation in the matrix above.