CHICAGO, March 18, 2003 (PRIMEZONE) --
Latest Optimization Approach, Resampling, "Fine Tunes" Efficient
Portfolios Making Them More Stable and Robust Than Those Produced
by Traditional Mean-Variance Optimization Alone
Advanced Manager Search Allows Users to Sort Through Universe
of Managers Using a Vast Variety of Criteria
Ibbotson Associates, a leading provider of investment tools and knowledge, today released EnCorr 9.0 -- the latest version of its sophisticated asset allocation software for institutional money managers and consultants. The new version debuts Ibbotson's latest portfolio optimization research and new analysis from Dr. Roger Ibbotson and Dr. Peng Chen on market forecasting.
The key feature of the new release is resampling, which helps managers build more diversified, robust portfolios than with traditional mean-variance optimization. To develop optimal portfolios, managers use forecasted asset class returns, standard deviations and correlations. But forecasting these returns and relationships is not an exact science -- these statistical parameters are only known approximately. Resampling is a technique used to test portfolios under various circumstances to see if they produce consistent, stable returns. The resampling application, EnCorr Optimizer Plus, is sold as an add-on to EnCorr Optimizer. It includes both the resampling application and the updated Ibbotson/Chen market forecasts.
Other significant additions to EnCorr include:
-- Advanced search and filter capabilities for mutual fund and money manager databases -- allows users to conduct sophisticated manager searches on such criteria as qualitative style and statistical measures.
-- Bundled Morningstar open-end mutual fund data -- now all U.S. EnCorr Attribution users have access to mutual fund data at no additional cost.
-- Dimson-Marsh-Staunton Data -- new global capital markets return data back to 1900.
-- New forecasting inputs -- based on a new supply-side study by Drs. Ibbotson and Chen.
"EnCorr 9.0 contains important new functionality that is vital for anyone who makes asset allocation decisions for pensions, foundations, endowments or individuals. No other product on the market offers all the functionality, quality and flexibility of EnCorr," said Tom Carlson, vice president at Ibbotson Associates.
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; wealth forecasting; educational services and a widely used line of NASD-reviewed presentation materials. With offices in Chicago, New York and Tokyo, Ibbotson Associates provides integrated investment knowledge, leading-edge technology, multi-conceptual education and a variety of sales presentation solutions. Ibbotson markets its integrated product line of investment analytical tools and services to institutional money managers, plan sponsors and consultants for quantitative analysis, high level decision making and presentations. The company's clients also include financial planners, brokers, mutual fund firms, private bankers and small money managers.