means, standard deviations, correlation coefficients

In addition to generating and displaying efficient frontiers, additional statistics are displayed for mixes on the Efficient Frontier that are not available elsewhere in ProVal.

For asset classes, expected mean returns, and standard deviations are displayed. Correlation coefficients amongst asset classes are also shown. These statistics are always displayed on a nominal basis. The display can be either on an arithmetic mean or geometric mean basis. They are also available on an excess basis if an excess basis frontier has been run.

For asset mixes on the efficient frontier, expected mean returns, and standard deviations are displayed for each mix. They are displayed on a nominal basis, and when appropriate, on an excess basis as well. The display can be either on an arithmetic mean or geometric mean basis.

Asset mix statistics can be calculated for any mix by coercing the Efficient Frontier inputs to capture the mix by setting the minimum/maximum constraints to a unique portfolio. In some sophisticated asset allocation strategies, there may be a desire to have a negative allocation to some classes. This is permitted. However, the allocations for all asset classes must sum to one.

While generating an excess basis efficient frontier, the user may choose to export liability returns to a file. These returns can later be imported into a custom capital market simulator. By definition, the resulting asset class will have an expected return and standard deviation of zero on an excess basis. It will have the same duration as the underlying liability.