Robust Asset Allocation Software

Transcription

1 Morningstar EnCorr

2 Robust Asset Allocation Software Institutions worldwide use Morningstar EnCorr to research, create, analyze, and implement optimal asset allocation strategies within a single software. This advanced analytical software unites proven financial models, sophisticated Ibbotson methodologies, and comprehensive Morningstar investment data. An innovative solution for conducting advanced statistical and graphical analyses, Morningstar EnCorr helps build portfolios designed to generate robust returns at varying risk levels. The software provides invaluable support to institutional investment professionals conducting in-depth portfolio research, including analysts, investment consultants, Registered Investment Advisors, and portfolio managers.

3 Extensive Capabilities Powered by Quality Data Sound Inputs for Sound Strategies An asset allocation strategy is only as sound as its inputs. Morningstar EnCorr incorporates proven financial models to set the foundation for more stable and diverse portfolios. Advanced methodologies such as the Ibbotson building blocks and the Black-Litterman models are built in to help develop and test capital market assumptions. Powerful Optimization Process Morningstar EnCorr software offers advanced tools to identify optimal portfolios along the efficient frontier. A robust optimization process improves on mean-variance optimization by applying proprietary resampling methodologies that account for input uncertainties. Liability-relative optimization, or surplus optimization, is also available for asset/liability modeling. Monte Carlo simulations can be run to forecast possible portfolio returns and wealth values. Access to Comprehensive Data Timely and accurate data strengthens both inputs and forecasts. Morningstar EnCorr offers expanded current and historical data for a full range of investments through the complete Morningstar data universes and Ibbotson Stock, Bonds, Bills, and Inflation (SBBI ) data. The software also accommodates third-party data imports and subscriptions to additional data packages. Tools for Consistent Analysis Morningstar EnCorr supports investment recommendations across organizations through its consistent data, methodologies, and processes. Various departments at investment consulting firms, retirement plan sponsors, banks, endowments, insurance companies, and asset management firms rely on specific Morningstar EnCorr tools for investment and portfolio analyses. Academic institutions also use the software to design educational programs and support research in the studies of investments and finance. Portfolio Building Tools Morningstar EnCorr simplifies the process of creating optimal portfolios through a full suite of analytical tools. Global Databases Regions Asia Australia Europe North America Investment and Market Data Closed-end funds Exchange-traded funds Hedge funds Indexes Mutual funds Offshore funds Separate accounts Stocks SBBI Variable annuity subaccounts and underlying funds Available for a fee Center for Research in Security Prices (CRSP) Dimson-Marsh-Staunton Global Data Analytical Tools Analyzer Inputs Generator Optimizer Plus Attribution Allocator Scenario Builder Explore historical and current investment data Develop, refine, and test asset class assumptions Build and analyze portfolios along the efficient frontier Examine manager style consistency and investment decisions Determine manager mix to implement asset allocation plan Perform what if analyses under multiple conditions Output Options Pre-formatted reports Custom reports and data tables Copy to clipboard Microsoft Excel Microsoft PowerPoint Microsoft Word

4 Optimal Portfolios Supported by Sound Inputs and Strategic Allocations Inputs Generator Tool A reliable set of expectations about return, risk, and correlations is essential to building optimal portfolios. The Inputs Generator tool in Morningstar EnCorr offers multiple methodologies to develop and test capital market assumptions. Investment professionals can use its time-tested optimization inputs or incorporate advanced financial models to create their own defensible forecast statistics. Key Capabilities Black-Litterman expected returns: Factor in intuitive views and confidence levels Building Blocks expected returns: Combine the current risk-free rate with historical risk premia for asset classes Rolling period standard deviations and correlations: Analyze an asset s volatility and correlation trends over time Optimizer Plus Tool Sound asset allocation is the foundation of portfolio development. Morningstar EnCorr s powerful Optimizer Plus tool builds portfolios that deliver the highest return for an acceptable level of risk, or the lowest risk for a desired return. Investment professionals can identify portfolios on and off the efficient frontier as they modify asset class constraints or assumption inputs. Key Capabilities Resampling: Optimize for more effi cient portfolios under multiple simulated future scenarios Liability-relative optimization: Redefi ne risk and return around the total portfolio including both assets and liabilities Monte Carlo simulation: Forecast the probability of accomplishing desired returns and wealth values for multiple portfolios Build Better Efficient Frontiers Morningstar EnCorr s fl exible input options, extensive data, and proprietary resampling process help generate more robust, diversified portfolios.

5 Proprietary Resampling Process for More Diverse Portfolios Before Resampling Portfolios created using traditional mean-variance optimization and standard uncertainty parameters tend to underutilize asset classes, exposing investors to additional risk. After Resampling Resampled mean-variance optimization recognizes uncertainties of asset class expectations. Morningstar EnCorr s proprietary resampling capability reduces prediction error and greatly increases portfolio diversification.

6 An All-Inclusive Suite of Portfolio Building Tools Analyzer Begin building asset allocation recommendations by exploring current and historical statistical data for a range of investment types and market indexes. Sort and examine user-defined performance periods, regression, and correlation. Convert currencies and use hedge- or inflation-adjusted data series. Attribution Determine which investments offer the best performance relative to a benchmark by reviewing historical averages. Evaluate manager consistency over time with returns-based style analyses. Examine the effect on performance as a result of policy, market timing, and security selection. Allocator Find an optimal allocation of portfolio holdings given certain investment constraints. Implement an asset allocation plan by searching for the manager mix that will bring the desired result, while minimizing tracking error. Eliminate any guesswork by verifying selections through quality research and data. Scenario Builder Test an asset allocation plan under a variety of market and economic conditions to determine how well it performs. Specify date periods to examine particular months or years in the analyses. Evaluate what happened in the past to develop better asset allocation recommendations.

7 As a Morningstar client, you receive not only innovative investment analyses, data, and industry expertise, but also our ongoing commitment to quality and superior client service. Training and support for Morningstar EnCorr are available from dedicated client consultants and other sources to help users throughout your organization maximize the software s capabilities. On-site training One-on-one online training Live Web-based tutorials How to movies Phone support support Product Demo and 0-day Free Trial Asia (except mainland China) Monday Friday, 9:00am 5:00pm Beijing Australasia Monday Friday, 8:0am 5:0pm AEST Canada Monday Friday, 9:00am 5:00pm EST China Monday Friday, 9:00am 5:00pm Beijing Europe Benelux France Germany Italy Norway Spain Switzerland United Kingdom Monday Friday, 9:00am 5:00pm GMT Latin America Monday Friday, 9:00am 5:00pm GMT United States Monday Friday, 8:0am 5:00pm CST [email protected] Pricing Pricing is based upon the number of users and includes extensive training and dedicated product support. Add-on data packages are also priced per user. Format Desktop software available as a download. Frequency Data is updated monthly, quarterly, or annually Morningstar, Inc. All rights reserved. The Morningstar name and logo are registered marks of Morningstar. Marks used in conjunction with Morningstar products or services are the property of Morningstar or its subsidiaries. Printed on 100% recycled paper that is made with wind energy.

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