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

|Includes: IVE, IVW, OEF, SLY, SPDR S&P 500 Trust ETF (SPY)

BOSTON, Aug. 2, 2012 - Performance Analytics ( - 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.

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