TORONTO, Nov. 21, 2011 /CNW/ - Morningstar, Inc. (NASDAQ: MORN), 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.
SOURCE Morningstar Research Inc.
For further information:
Jaime Aitken, +1 416 484-7868 or email@example.com