BERKELEY, Calif. -- Risk management officers from some large corporations have signed up to advise development of software that measures the overall risk of investment portfolios across asset classes.
Members of a BARRA Inc. advisory board for its Total Plan Risk software are: Des Mac Intyre, director of business risk management at General Motors Investment Management Corp., New York; Sue Manske, director for risk management, Ameritech, Chicago; William Miller, independent risk oversight, The Common Fund, Westport, Conn.; Jay Vivian, director of risk management, IBM Retirement Funds, Stamford, Conn.; and Paul Spijkers, managing director of fixed income for Stichting Pensioenfonds ABP, Heerleen, the Netherlands.
"We have debated, planned and gathered information on current practices. Now it is time to build the standard for investment risk assessment, and incorporating the same methodologies used by the investment management community has a strong appeal," said Mr. Mac Intyre.
Last November, BARRA released the first generation of its Total Plan Risk software. It is being used by the $143 billion Stichting Pensioenfonds ABP. ABP jointly developed the software with BARRA.
Total Plan Risk allows investment professionals to aggregate and view security selection and asset allocation risk for mixed portfolios in either a domestic or international context.
Risk software has existed for some time, but for pension plans it is generally limited to particular asset classes, such as international equity or fixed income. BARRA's software lets investors see what their overall risk is for all of their assets combined. BARRA officials and some pension officers think being able to get an overall look at risk is important because risks can be compounded across portfolios of different asset classes.
BARRA is working on new generations of Total Plan Risk. The purpose of the advisory board will be to help guide the developers in adding features to the software.
"We have assembled a long list of future enhancements, such as incorporating user-definable scenario analysis and enhancing coverage of non-traded assets. Who better to help us sequence priorities than the potential users themselves," said Todd Doersch, president and chief executive officer of RogersCasey Sponsor Services Inc., a wholly owned subsidiary of BARRA.
The persons named to the advisory board are leaders in analysis of plan risk management, said Paul Green, manager for strategic marketing at BARRA.
New generations of the software will be sold to large pension funds. Large banks are expected to buy it also, said Mr. Green. The banks will use it to provide total plan risk analysis for pension funds who don't buy the software outright.
Separately, BARRA reported a 53% increase in revenue for the fourth quarter of 1997 from the same quarter the previous year.
Vestek adds model to analysis software
SAN FRANCISCO -- Vestek Systems Inc. portfolio analysis and portfolio optimization software now can better measure the impact of global sectors and local markets on the risk in a portfolio.
Vestek made the improvement in a new version of its Portfolio Analyzer software.
It now incorporates the X-C risk model of the analytical software provider QUANTEC, London.
The model focuses on the impact of global factors on portfolio risk and return. It identifies the influence of both global sectors and local markets on portfolio risk and gives an accurate analysis of the true currency exposure in a portfolio, according to officials with Vestek and QUANTEC.
By incorporating the X-C risk model into Vestek's product, Portfolio Analyzer can provide a "full spectrum of portfolio analysis including the risk analysis and risk-based portfolio optimization," stated Ralph Goldsticker, director of research at Vestek.
"Over the last two years in the U.S., there has been tremendous growth in interest in looking at global portfolios," said Jason McQueen, chairman of QUANTEC.
For further information, contact Susan Lundquist at Vestek, (415) 398-6340.
Ibbotson helps answer 'what if' questions
CHICAGO -- Ibbotson Associates Inc. have released new software they said helps financial professionals discover how investments perform under a variety of market and economic conditions.
Called Scenario Builder, the software allows users to define their own what-if scenarios to statistically and graphically analyze how investment benchmarks and industries perform under different conditions.
"You hear people ask 'what if' questions all the time," said Roger Ibbotson, founder of the firm. Using Scenario Builder, the answers can be learned quickly in a computer rather than looking through research studies, Mr. Ibbotson said.
Scenario Builder allows investors to select which data series to analyze and which series to use as the basis for the market or economic conditions.
Criteria are defined by setting conditions to be less than or equal to a value or series, greater than or equal to a value or series, or between two values.
For further information, contact Laura Ellsworth at Ibbotson at (312) 616-7353.
Bankers Trust plans technology products
NEW YORK -- A newly formed group at Bankers Trust Corp. will use emerging electronic technology to create information-based products for the bank's asset management, trust and custody, securities lending, cash management and other clients.
Internet-based delivery of information probably will be the immediate focus of the group, but the work is expected to involve "the realm of the possible" through "a bunch of different delivery vehicles," said Michelle Bruxvoort, a bank spokeswoman. She said she could not elaborate.
Carol Coye Benson, formerly director of product development for Visa International, Paris, has been appointed to lead the group.
While at Visa, Ms. Benson was responsible for advanced technology strategies and information products.
Ms. Benson's team will develop products for the three divisions of the bank's Global Institutional Services department:
* Global Asset Management Services, which provides investment management, global custody, retirement services, securities lending, risk management, performance measurement, institutional brokerage and benefit payments services.
* Corporate Trust & Agency Services, which provides trustee, agency and depository services for capital-market financing worldwide. Through this group, Bankers Trust is a trustee for Eurobonds, asset-backed and mortgage-backed securities and project financing; an agent for Eurobonds and medium-term note programs; and a leading depository bank for both American and global depository receipts.
* Cash & Trade Services, which processes global payments and collections, offers cash management services and short-term investments. This group also provides trade finance services, including foreign exchange in all major currencies, import and standby letters of credit, bankers acceptances, export letters of credit, and documentary collections.
The bank's principal subsidiaries -- Bankers Trust Co., BT Alex. Brown Inc. and Bankers Trust International PLC -- perform services in leveraged lending, high-yield securities, equity underwriting and distribution, and strategic advisory and risk management.
Bankers Trust manages more than $320 billion in assets and has $2 trillion under custody.