CHICAGO - Ibbotson Associates, Chicago, has a new software program that shows how some plan sponsor decisions affect fund investment performance, positively or negatively.
Rebecca Y. Huang, marketing manager at Ibbotson, says the product, called EnCORR/Attribution, is the only product of its kind that looks at the impacts of timing and selection decisions made by plan sponsors.
EnCORR/Attribution also shows the performance attribution and styles of a group of money managers as well as individual managers.
Style analysis examines a manager's or a portfolio's investment style. Portfolio attribution looks at other factors providing performance, such as manager selection and security selection.
Not all style and attribution products can analyze the performance attribution of a group of money managers, she said.
Ibbotson's product could provide some revelations for plan sponsors. Plan sponsors frequently hire and drop money managers individually. But plan sponsors usually can tell only vaguely what effect their decisions are having on the overall performance of their portfolio.
But EnCORR/Attribution purportedly will tell plan sponsors what impact on investment performance their timing had in making a change. One change, commonly done, might be replacing a large-capitalization value money manager with a small one a small cap value manager.
Additionally, EnCORR/Attribution looks at the impact of the choice made by plan sponsors. EnCORR/Attribution will compare the fund's return based on the weighting set by the fund's policy vs. the actual return.
EnCORR/Attribution's style analysis also shows a portfolio's exposure to various asset classes, shows a style history of a fund, allows customization of a benchmark and produces graphics.
The portfolio attribution part of EnCORR/Attribution determines whether a money manager followed plan policy, examines a manager's investment timing and security selection and examined defined components of a portfolio.
In March, EnCORR/Attribution was in its final testing stage. It is expected to be released in April.
Ibbotson expects to sell the product to plans using Balch Hardy Scheinman & Winston Inc.'s Style Advisor. Balch Hardy filed for bankruptcy earlier this year. Style Advisor is one of Balch Hardy's products. Ms. Huang said some plans testing Ibbotson's product are Style Advisor clients.
For more information, contact Ms. Huang at (312) 616-1620.
New computer bulletin board
MINNEAPOLIS - A new computer bulletin board exclusively for institutional investors has been launched by Bulletin Boardroom, Minneapolis. The board allows subscribers to communicate interactively through electronic E-Mail and on-line chatting.
Bulletin Boardroom also includes a financial data base with information initially on more than 100 publicly traded companies that may be viewed on-line or downloaded. In addition to financial filings, Bulletin Boardroom has contracted with information vendors such as SEC Online, Barrett, You & Associates, PR Newswire and Businesswire.
Muller Data teams up with SEI
WAYNE, Pa. - Muller Data Corp. has signed an agreement to provide daily pricing data to the consulting firm SEI Corp.
Muller, a supplier of end-of-day securities pricing, mutual fund evaluations and financial data services, will supply SEI initially with a daily pricing feed of adjustable-rate mortgage and collateralized mortgage obligation prices. Muller later will provide pricing data for municipal and corporate bond issues.
Academic joins BARRA
LONDON - Gregory Connor, now at the London School of Economics, has been named as research manager of the consulting and software development firm BARRA International Ltd.
Mr. Connor now is a reader - a position similar to that of a professor at a U.S. institution - in accounting and finance and director of the asset pricing research program of the Financial Markets Group at the school.
He will start working at BARRA this coming summer when the current university term ends. Mr. Connor developed the competitive equilibrium version of the arbitrage pricing theory, which motivated a large body of academic research on asset pricing theory.
Subsequently, working with Robert Korajczyk, an associate professor of finance at Northwestern University, Mr. Connor developed the asymptotic principal components methodology for estimating factor models of stock and bond market returns, which is now among the most commonly used statistical methodologies in academic research on stock and bond factor models.
The methodology is now among the most commonly used statistical methodologies in academic research on stock and bond market factor models.
Stan Beckers, president of BARRA International, said Mr. Connor's appointment is part of a strategic plan by BARRA International to increase its research capabilities in Europe.
New on-line research service
JERSEY CITY, N.J. - Multex Publisher, an on-line service that will distribute Wall Street and independent financial research reports has been announced by Multex Systems, Inc.
Five brokerage firms, including PaineWebber Inc. and Kidder Peabody & Co., have signed agreements to evaluate the use of Multex Publisher to disseminate research reports, according to an official of Multex.
Rome bank updates systems
OTTAWA, Ontario - Banca di Roma, Rome, the largest bank in Italy, has signed a $1.4 million licensing agreement for use of Fulcrum Technologies Inc., Ottawa, text-retrieval software.
The software will be used at the 1,200-office bank to provide access to internal bank policies and procedures as well as electronic forms within an open client-server computer environment, a complex computer network. Banca di Roma is a principal shareholder of Fulcrum's parent, Datamat Ingegneria dei Sistemi S.p.A.