ZEPHYR COVE, Nev. - Asset allocation capabilities have been added at no extra cost to users of Zephyr Associates Inc.'s StyleAdvisor investment style analysis software.
Called AllocationAdvisor, it uses Nobel Laureate Harry Markowitz's mean/variance optimization techniques for strategic asset allocation, according to R. Stephen Hardy, president of Zephyr Associates, Zephyr Cove.
The allocation program calculates forecasts using historical return numbers, and it creates an efficient frontier.
Using AllocationAdvisor, the allocation for each efficient portfolio can be viewed graphically as a pie chart. Investors can see how the weights of selected asset classes or managers change as they move along the frontier's curve.
Efficient portfolios can be exported from AllocationAdvisor to StyleAdvisor for additional analysis. For further information, contact Mr. Hardy at Zephyr at (702) 588-0654.
BARRA offers bond tool
BERKELEY, Calif. - A new tool to build superior multicurrency fixed-income portfolios was announced by BARRA Inc., Berkeley. Global Optimizer is a module in BARRA's Cosmos fixed-income analysis system.
"The optimizer is an integral part of the Cosmos system, enabling the user to effectively implement bond, currency and spread strategies while controlling for the volatility of their portfolios," said Roveen Bhansali, associate director of global fixed income at BARRA.
The optimizer allows fixed-income managers to combine BARRA's global risk model with their currency and interest rate views and investment goals to map out an efficient frontier of optimal portfolios.
Cosmos estimates daily term structures of interest rates in 21 markets based on data feeds from Salomon Brothers Inc. and J.P. Morgan Securities Inc., and covers more than 26 currencies.
The Cosmos multifactor risk model quantifies currency and local market risk, further breaking down local market risk into different types of yield curve risk (level, reshaping and curvature) and sector/quality spread risk.
Also included is a comprehensive database of government/ sovereign bonds, Eurobonds, foreign bonds, supranationals, derivatives such as currency options and forwards, bond futures and options on bond futures.
Data is refreshed daily. All major global bond indexes provided by Salomon and J.P. Morgan, as well as user-defined custom benchmarks, can be analyzed on a hedged or unhedged basis.
Boost for BondEdge
MURRAY HILL, N.J. - A new software interface enables fixed-income investment professionals to download Capital Access MAXX bond holdings data into BondEdge analysis software.
The interface was designed by Capital Management Sciences, Inc., Los Angeles, the maker of BondEdge. BondEdge is a fixed-income analytical system with applications for daily portfolio management and long-term invest
ment planning, including simulations, appraisal and distribution reports, option-adjusted spread analysis and Monte Carlo analysis for mortgage-backed securities and performance attribution tools.
Clients boost hedges
SAN FRANCISCO - A greater percentage of Bank of America's U.S. corporate foreign exchange clients identifying potential risks are executing hedges that cover a higher percentage of their risk exposures, a bank-sponsored risk management survey found.
By 1996, more than 90% of firms surveyed had written policy statements on measuring and hedging financial risk, an increase from 75% in 1994, said Arnold Miyamoto, global director of BofA's Foreign Exchange Risk Analysis Desk.
