Type of Computer Program: Microsoft XP, Vista, and Windows 7
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Objective of Program:
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Global Asset Allocation in terms of
percent for three levels of RISK:
Conservative,
Moderate,
and Aggressive.
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Supplied Databases:
- Marco-Economic & RISK Parameters for 31 Countries - Years 1993 thru Qtr
3, 2009
- Country Index Mutual Funds and other Mutual
Funds, both Open and Close-End, ETFs,
common stocks, and ADRs that mirror
Country Indexes for Years '93 thru Qtr 3, 2009
- Macroeconomic data from IMF "Intl
Financial Statistics" monthly CD
| Output of Program: |
Tabular Outputs at Specified Time
Points: |
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- Macro-Economics Evaluation by Global
Region and by Country
- RISK Evaluation by Global Region and
by Country
- Asset Allocations by Country
- Asset Allocations by Global Region
- Global Portfolio by Region & by
Country
- Global Portfolio Performance for Each
Calendar Year Quarter
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Graphic Outputs: |
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- Macro-Economics Parameters vs. Time -
31 Countries for Years 1993 - Qtr 3, 2009
- Relative Global Region Market RISK
vs. Time
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Scope of Model:
- The initial scope is limited to the 31 countries that comprise the Dow Jones Global Indexes. Future scope may
include some of the 26 countries that makeup the Emerging Markets
published weekly by Barron's.
Asset Allocation per Global Region:
- Each quarter starting with Qtr 1, 1994, the
model calculates the percentage allocation of Fund assets for all seven
global regions for three levels of RISK:
- Conservative
- Moderate
- Aggressive
The Model uses macro-economic parameters
together with each country's stock market performance to determine both the risk
level and the percentage allocation of assets.
Portfolio Creation and Performance per Global
Region and Security:
- GLOBAA accesses the index and country
specific mutual fund databases that include all seven global regions and
chooses the most attractive mutual funds. The User specifies the point
in time. The program prompts the User for the amount of investment
capital and the program automatically calculates the portfolio for the next
calendar year quarter. Model verification and its "figure of
merit" was determined by running historical performance calculations.
The results indicate the ETF + ADR limited securities model outperforms the country indices by about 5.9% per
annum for the last 5 years ending Qtr 3, 2009.
Database Management:
PIMS, Inc. has created and is maintaining all
GLOBAA databases. GLOBAA has a built-in proprietary algorithm
selection method that automatically creates GLOBAA portfolios.
General Mandates of Model:
- The model provides for full investment of
assets at all times by maintaining a negligible amount of cash.
- The model maintains at least a minimum
exposure to all seven global regions at all times.
- The model provides a User option to limit
security selection.
Minimum Percentage Asset Allocations:
- Minimum percentage asset allocations have
been set for each global region.
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