Accounting and Financial Software
Asset Allocation Software offers Black-Litterman capability.
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Press Release Summary:
EnCorr v9.3 asset allocation software advances mean-variance optimization with Black-Litterman model that is based on Bayesian asset allocation techniques. It allows users to analyze historical performance data, evaluate and monitor manager/fund style and performance, develop and implement asset allocation policy with financial products such as mutual funds and separately managed accounts, and test and forecast portfolio performance with varying spending rates using Monte Carlo simulation.
Original Press Release:
Ibbotson Adds Black-Litterman Capability to EnCorr Investment Analysis Software
CHICAGO, Feb. 21 / -- Ibbotson Associates, a financial diversification company, today released EnCorr 9.3 -- the latest version of its sophisticated asset allocation software used by money managers and consultants. The new version advances mean-variance optimization (MVO) with Black-Litterman capabilities.
One of EnCorr's primary features is mean-variance optimization -- the standard tool used to make asset allocation decisions. Given three inputs (mean, standard deviation and correlation) from each desired asset class, MVO produces an "efficient frontier." Each point on the efficient frontier represents an optimal asset allocation, more specifically an asset allocation that maximizes expected return for a given level of risk.
A well-known problem with MVO is that it produces optimal portfolios that are often highly concentrated in a small sub-set of the assets being optimized. Two relatively new and popular solutions to this problem are resampling and Bayesian asset allocation approaches. The first is an enhancement to the optimization process and the second is a model for developing better inputs.
In 2003, Ibbotson introduced resampling or resampled MVO in EnCorr 9.0. The technique leads to better-diversified asset allocations (i.e., allocations to more asset classes) relative to traditional MVO. Now Ibbotson has added functionality to create better inputs based on one of the most sophisticated Bayesian asset allocation techniques, the Black-Litterman model.
"The Black-Litterman asset allocation model is a method for developing expected returns for use in either a traditional mean-variance optimizer or a resampled mean-variance optimizer to create robust strategic asset allocations. It provides a framework for incorporating investors' views, and confidence in those views, into the expected returns," said Tom Idzorek, director of research at Ibbotson Associates. "Given the investor input, the Black-Litterman model can be viewed as a tactical or dynamic asset allocation tool that offers something above and beyond both resampled MVO and traditional MVO."
EnCorr is designed to be a flexible tool for pension fund management consultants, money managers, plan sponsors, sophisticated independent advisors and financial product marketers. The software allows a user to analyze historical performance data; evaluate and monitor manager/fund style and performance; develop and implement an asset allocation policy with financial products such as mutual funds and separately managed accounts; and test and forecast portfolio performance with varying spending rates using Monte Carlo simulation.
About Ibbotson Associates
Ibbotson Associates, founded by Professor Roger Ibbotson in 1977, is a leading authority on asset allocation, providing products and services to help investment professionals obtain, manage and retain assets. The company's business lines include investment consulting and research; planning and analysis software; investment advice; educational and marketing services and a widely used line of NASD-reviewed presentation materials. With offices in Chicago, New York and Tokyo, Ibbotson Associates markets its integrated product line to institutional money managers, insurance companies, plan sponsors and consultants, financial planners, brokers, mutual fund firms, hedge funds, banks and small money managers.
Source: Ibbotson Associates
CONTACT: Matt Burki, Public Relations Department of Ibbotson Associates, +1-312-616-7882, or mediarelations@ibbotson.com
Web site: http://www.ibbotson.com/
