Performance Analytics Announces Upgrade to Models Used to Forecast Equity Market Returns

Thu Aug 2, 2012 7:45am EDT

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Performance Analytics Announces Upgrade to Models Used to Forecast Equity Market Returns

PR Newswire

BOSTON, Aug. 2, 2012 /PRNewswire/ -- Performance Analytics (http://www.taacomplete.com) -- a leading provider of tactical asset allocation research for investment management -- announces a significant upgrade to its suite of asset allocation models. Using its unique PAR Model™ for equities, Performance Analytics provides actionable, result-driven asset allocation research.

Performance Analytics has made the following enhancements to its U.S. equity models:

  • Added new factors to the set used to forecast six-month returns of the S&P 500 index , increasing the number of factors from 15 to 22.
  • Improved back-testing forecasting power (R-squared) for the S&P 500 to about 60% from 50% over the last five years. R-squared measures the portion of variability in index returns that was forecast correctly, with 0% being a pure-guess no-skill situation.
  • Added four indices to its models: the S&P 100, S&P 600 Small Cap, S&P 500 Value, and S&P 500 Growth. Forecasting of expected six-month returns for these indices will allow investment managers to make informed allocation decisions in these segments of the market.

Roman Chuyan, Founder and President of Performance Analytics, describes these impressive improvements: "We have had extremely positive feedback from investment managers to our PAR Model™ research. Most portfolio risk-return comes from the decision to allocate funds to equities, and asset managers like getting clear forecasts of expected equity index returns to help them navigate the uncertainty of the market. Some managers make active value vs. growth and large-cap vs. small-cap allocation decisions as well. We are excited to release these additional indices, as well as the enhanced model for the S&P 500 that achieves even higher forecasting accuracy then the previous version. We look forward to helping our clients improve their performance through active tactical asset allocation strategies."

About Performance Analytics, Inc.
Performance Analytics, based in Boston, provides asset allocation research to hedge funds, pensions, endowments, mutual funds and other asset management firms to help improve their risk-adjusted returns through proven, quantitative models. The PAR Models™ have been in development for over eight years and provide access to sophisticated, powerful modeling techniques to investment managers of all sizes.

For more information about PAR Model™ reports, and to sign up for a free trial, go to http://www.taacomplete.com.

Media Contact:   
Frank Donovan, VP Business Development
Performance Analytics, Inc.
Boston, MA
Phone: 781-844-9138
fdonovan@taacomplete.com

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SOURCE Performance Analytics, Inc.

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