Morningstar® Adds Pioneering Asset Allocation Functionality to Morningstar Direct™ Platform for Institutions
November 21 2011 - 9:30AM
PR Newswire (Canada)
TORONTO, Nov. 21, 2011 /CNW/ - Morningstar, Inc. , a leading
provider of independent investment research, has added pioneering
asset allocation optimization functionality to Morningstar Direct™,
the company's web-based global investment analysis platform for
institutional investors. The new functionality is based on
extensive research from Morningstar and its European quantitative
research director, Paul D.Kaplan, Ph.D, CFA. It facilitates the
creation of optimal asset allocation strategies that can take into
account "fat-tailed" return distributions and downside risk
measures. "This is portfolio construction for the 21st century,"
said Dr. Kaplan. "These additional optimisation tools will assist
professional investors in their design of superior asset allocation
strategies, supported by a methodology that is among the most
innovative available today. Whilst traditional portfolio
optimisation still has its place, it cannot take into account
extreme asset class return distributions, and can only optimise
asset mixes for one risk metric and one reward metric. In our view,
access to both traditional and newer optimisation techniques gives
portfolio managers the breadth of analysis they need to design
portfolios that are better suited to real-world returns and focus
on the goal of long-term wealth creation." Fat-tailed distribution
modelling accommodates the possibility of extreme market events
occurring during the lifespan of an investment strategy—such as the
crash of 2008—and the resulting impact on returns. It does this
through an underlying distributions methodology that is better able
to draw on real-world historical asset class returns than would be
available through traditional distribution models. New additional
risk measures included in the new functionality are downside
deviation and conditional value at risk (CVaR), which measures how
extensive losses can be during extreme events. For more information
about the new Morningstar Direct asset allocation functionality,
please visit www.global.morningstar.com/Tails_Intl. About
Morningstar, Inc. Morningstar, Inc. is a leading provider of
independent investment research in North America, Europe,
Australia, and Asia. The company offers an extensive line of
products and services for individuals, financial advisors, and
institutions. Morningstar provides data on approximately 330,000
investment offerings, including stocks, mutual funds, and similar
vehicles, along with real-time global market data on more than 5
million equities, indexes, futures, options, commodities, and
precious metals, in addition to foreign exchange and Treasury
markets. Morningstar also offers investment management services
through its registered investment advisor subsidiaries and has more
than $167 billion in assets under advisement and management as of
Sept. 30, 2011. The company has operations in 26 countries. ©2011
Morningstar, Inc. All Rights Reserved. Morningstar Research Inc.
CONTACT: Media Contact:Jaime Aitken, +1 416 484-7868 or
jaimelyn.aitken@morningstar.com
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