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
Transition Plan
Execution bridge from the client's current portfolio to the recommended portfolio you built on the Portfolio Builder tab — including every manager-level edit, locked legacy holding, and parent-group override. Locked legacy positions (flagged on the Import tab) are carried forward at their current weights and excluded from sales.
Asset-Class Bridge
High-level shift required by parent group and sub-class. Tradeable dollars exclude locked legacy positions. The Locked column appears whenever any positions are locked from sale.
Sell Schedule (Position by Position)
Positions ordered by sell priority: losses first (harvest), then lowest-gain taxable, then deferred/Roth (no tax impact). Locked / hold / transfer positions are excluded.
In-Kind Transfer Schedule
Positions flagged as Transfer on the Import tab — moved into TOC-23 SMA wrappers (e.g., Aperio, Quantinno) without realizing gains. Zero tax impact at transfer; tax-managed SMAs add tax-loss-harvest alpha going forward.
Hold Schedule (Legacy Positions Carried Forward)
Positions kept at their current weight in the recommended portfolio — either explicitly flagged as Hold on the Import tab (legacy / illiquid / restricted / concentrated) or implicitly held because the target allocation already matches.
Buy Schedule (Asset Class)
New target allocation deployed proportionally over the transition period. Reflects the Portfolio Builder implementation when populated; otherwise the optimizer's selected portfolio.
Quarterly Transition Schedule
Cumulative dollars sold and bought, plus per-quarter and per-calendar-year tax-cost estimates. Cash position rises as sales settle and falls as buys execute. Quarterly cadence matches the proposal's DCA schedule.
Tax Impact Summary
Phased Execution Plan (Claude-Generated)
Claude turns the trade list above into a phased narrative the client can read — respecting locked legacy positions, in-kind transfers, the chosen tax appetite, and the directives above. Output names specific positions and managers when those toggles are on.
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% | $0 | — | — | — | — | — | |||||||
Implementation Allocation
Implementation vs. CMA Weights
Total Net Worth / Balance Sheet View
The optimization above covers only the investable portfolio. Use this section to add back other balance-sheet items (primary residence, tax reserves, concentrated stock, mortgages, etc.) with custom return and volatility assumptions, then recalculate combined characteristics across the entire balance sheet. Liabilities should be entered as negative amounts.
| Description / Notes | Category | Amount ($) | Return % | Volatility % | Corr to Port | |
|---|---|---|---|---|---|---|
| Balance Sheet Items Subtotal | $0 | |||||
Asset Location
Place each asset class into taxable or tax-protected entities to maximize after-tax return. Tax-inefficient assets (ordinary income, HFs, REITs) belong in tax-protected entities; tax-efficient assets (munis, SMAs with tax alpha, PE) belong in taxable accounts. Private-investment-eligible entities are required for PE/PC/Private RE allocations.
Step 1: Define Entities
Add the accounts / trusts / entities the client uses. Sum of sizes should approximate the portfolio value.
| Entity Name | Size ($) | Tax Status | Private-Eligible | No Alts (IRA / UBTI) |
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.