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PAR Model
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Frank Donovan, Vice President Model Capital Management LLC constructs tactical ETF-based portfolio management strategies. Model Capital provides these tactical strategies in research reports tailored to registered investment advisors. These tactical strategies are based on near-term return and... More
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Model Capital Management LLC
  • Performance Analytics Announces Upgrade To Models Used To Forecast Equity Market Returns 0 comments
    Aug 9, 2012 4:45 PM | about stocks: SPY, OEF, SLY, IVE, IVW

    BOSTON, Aug. 2, 2012 - 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.

    read the full story here: http://www.reuters.com/article/2012/08/02/idUS125816+02-Aug-2012+PRN20120802

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Themes: Asset allocation, portfolio strategy Stocks: SPY, OEF, SLY, IVE, IVW
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