Asset Allocation and Portfolio Construction
Robust analytical tools for asset-class-level and product-level optimization
MPI asset allocation and portfolio construction tools are the industry’s most advanced solutions for greater insight into portfolio dynamics. You can easily assess user-defined portfolios, identify optimal allocations along efficient frontiers with one of our many quantitative models, and project future wealth and return outcomes with our advanced simulations.
Asset Allocation and Portfolio Construction
Key Capabilities
Select from various optimization models including MVO, Black-Litterman, CVaR, downside risk (semi-variance), mean-benchmark tracking, surplus (liability-driven) optimization, and more.
Specify portfolio “glide paths” (changing allocation over time) to more accurately project future wealth and return outcomes.
Optimize on any user-defined objective, not just expected return: alpha, yield, fees, custom fund ratings, and others.
Incorporate “fat tails” into forecasts with MPI’s Downside Log-stable Monte Carlo simulation engine.
View and analyze multiple frontiers at one time.
Efficient Frontier
Efficient Frontier: Objective (Return) vs. Risk (StDev Rtn)
Resampled Frontier
Efficient Frontier: Objective (Return) vs. Risk (StDev Rtn)
Asset Allocation and Portfolio Construction Solutions
Key Benefits
- Saves time and money with one comprehensive software platform that provides both historical and forward-looking analysis capabilities
- The most powerful and flexible institutional asset allocation tool on the market
- Creates custom-branded reporting documents that seamlessly combine market data and analytics with users’ proprietary content and commentary
- Incorporates realistic considerations like t-costs, glide paths and exponentially weighting the covariance matrix
- Models projected cash flows with inflation adjustment, present or future values, and other user-selected variables
Premium Features
Achieve more, whether you want to gain deeper insights into complex product behavior, enrich your analysis by incorporating proprietary data, or streamline report generation through advanced automation services. Choose the features that are right for your organization, and MPI can ensure they are tailored specifically to meet your firm’s needs.
Automation
MPI’s automation capabilities turn Stylus Pro into a powerful and flexible publishing engine, enabling single-click production of fact sheets, reports and other marketing materials.
- Automate almost any function of the software with StylusScript, MPI’s scripting language.
- Print large, automated publishing jobs directly to PDF and, if desired, merge or append them to other PDF documents.
- Adds batch processing capabilities, including MPI Publisher.
Advanced Analytics
The advanced analytics module allows you to create your own custom analytics and access MPI’s patented Portfolio Calibration resampling technique to automate scenario-based stress testing on your portfolio, and to enjoy many other unique features.
- Create proprietary manager rating systems, score cards or user-defined analytics and calculations.
- Use indicators to clearly identify distinct groups or specific managers on charts.
- Simultaneously analyze and visualize multiple frontiers to stress-test portfolios in different economic environments.
- User-Defined Optimization Variables: Create optimal portfolios using any metric you choose, including manager rating, yield, fees, operational risk, and others.
- Estimate manager or portfolio loss thresholds with our returns-based Value at Risk (VaR) functionality.
Database Integration
This capability enables you to integrate proprietary performance and qualitative data with your Stylus solution for conducting custom investment analysis.
- Seamless import and export of custom proprietary and third-party data that can be associated with individual managers or products through MPI Dictionaries.
- Enhance or expand your MPI database with proprietary or third-party databases for more dynamic analysis and reporting.
- Use SQL statements to create customized charts and tables using information from proprietary linked databases.
High-Frequency Analysis
Capture additional portfolio dynamics, detect shifts more quickly with daily data, and analyze a broad range of products using daily indices across various asset classes and countries.
Dynamic Style Analysis
Achieve a more transparent view of opaque or complex investment strategies, funds and products using MPI’s patented Dynamic Style Analysis capability, a major enhancement to traditional returns-based quantitative analysis.
- Works even with very limited historical data.
- Delivers more accurate results and quicker detection of style shifts.
- Provides superior detection of leverage and shorting.
- Adds unique predictability measures and factor selection model.
Custom Language Support
This capability allows users to modify text that appears in Stylus Pro charts, tables and dialogs to suit organizational preferences, including foreign languages.