MEFIM plus



GAM is a product offered by GRETA, for forecasting the annual performance of the major asset classes with reference to the main macroeconomic areas. It is linked to MEFIM because it utilises the forecasts of the latter to calculate the total returns of the different markets. This product is a reliable tool for decisions concerning Global Asset Allocation, providing useful information on variations in performance that could take place, should an unexpected scenario occur.

GAM includes: 

1. A table giving the expected performance, in terms of total returns calculated on a solar year basis and for a 3-year horizon, of the following asset classes:

  • Equity: the total returns regarding stock indices are calculated for main geographical area (Eurozone, US, Japan, Great Britain);
  • Bond: the total returns regarding bond indices are computed by main geographical area (Eurozone, US, Japan, Great Britain);
  • Currency: the total returns on interbank 3-month deposits are calculated on the basis of exchange rate forecasts obtained from an "ad hoc" Econometric model (Euro/US Dollar, Euro/JP Yen, Euro/GB Pound).
  • Cash: the total returns on interbank 3-month deposits in Euro, Dollar, Yen, Sterling Pound are calculated.
2. A brief report on the US, Eurozone and Japanese economic situation.

3. The selection of two possible scenarios out of the three outlined by GRETA's Finance Committee: the aim is to supply a reference scenario of high probability (base case scenario) and one of low probability (worst case scenario).



Within the first 5 working days of any month, the results from GAM are made available in GRETA's Database. Clients can have access to a file by modem, using a password and identification code. As an alternative, the client can be provided with all the material via e mail.
The file, in Acrobat reader format, contains a report on the economic situation, a description of the scenarios considered and a table of the total returns.

Demo Gam (Italian version only)



About GRETA Aree di ricerca Prodotti & servizi

What we do
Principal clients
How to reach

Risk Management
Systemic Risk
Asset Allocation
Financial Portfolio Analysis & Evaluation
Option Pricing
Scenario Analysis
Statistical Research

Monthly Econometric Financial International Model - MEFIM
Econometric Financial Regional Model - MEFR
Global Asset Model - GAM
GRETA Pension Fund Performance - GRETA-PFP
GRETA Regional Econometric Model - GREM

Eventi Pubblicazioni  
Sovereign Bond Markets Conferences
CREDIT Conferences
JAE 2005

Recent pubblications
Old GRETA Working Papers

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