Portfolio optimization

Japan’s Government Pension Investment Fund Extends Relationship with MPI for Stylus Pro Fund Analysis System

TOKYO and SUMMIT, N.J., June 29, 2020 /PRNewswire/ — Markov Processes International (MPI), a leading investment analysis, research and technology provider for investment professionals, today announced that Japan’s Government Pension Investment Fund (GPIF), the world’s largest public pension fund with AUM of $1.5 trillion, has extended its relationship with MPI to utilize MPI’s Stylus Pro suite for a multi-year contract.

Stylus Pro provides pension fund investment teams with analytical tools and data to conduct due diligence, optimize and stress-test portfolios using historical regimes and forward-looking theoretical scenarios, manage risk and streamline reporting.

Manager selection and surveillance are critical for institutions seeking to grow and protect their members’ assets. MPI’s unique and proprietary quantitative methods are quick to detect style drift and extremely accurate in identifying alpha, risk exposure and key elements of return behavior.

We are delighted that GPIF has decided to extend their relationship with MPI, and we look forward to continuing to provide them with the most advanced, proven quantitative techniques for investment selection, risk management and monitoring.

Michael Markov, CEO of MPI

Pension fund investment teams utilize Stylus Pro to identify, assess, test and monitor public or private funds that fall within their investment mandates. Stylus Pro can monitor how managers and funds perform against their broader peer groups and fund universes and identify when a fund’s performance begins to waiver from its stated strategy and style.

Investment teams can use Stylus Pro to:

  • Conduct in-depth comparisons of individual managers, their performance and risk profiles.
  • Model, stress-test and optimize portfolios through simulation technologies with powerful asset allocation features
  • Scrutinize thousands of hypothetical outcomes with MPI’s patented Calibrated Frontiers, using multiple optimization models such as Mean variance optimization (MVO), Black-Litterman, Conditional Value at Risk (CVaR), downside risk and mean-benchmark tracking.
  • Simulate future outcomes that include fat-tailed, extreme possibilities that other systems often miss.

For more information about the report or MPI’s solutions, please email info@markovprocesses.com  or call +1 908 608 1558.


About MPI

Markov Processes International (MPI) is a leading independent provider of quantitative investment research, technology, analytics and indices for the global investment management industry. MPI’s flagship Stylus solutions are used by hundreds of firms to make smarter investment research, portfolio construction and optimization, performance analysis, risk surveillance, distribution and reporting decisions. MPI Stylus can be delivered as a desktop, enterprise-hosted or cloud-deployed solution. MPI’s Enterprise Solutions team also offers customized configuration and implementation services to meet your organization’s specific needs. Follow us on Twitter @MarkovMPI, connect with us on LinkedIn and read the latest MPI research.

Creating a Deeper Connection with The Advisor Through Portfolio Consulting

A leading asset management firm realized that it had become increasingly difficult to maintain AUM when it is tied to performance alone. Some of their largest competitors are increasingly providing in-depth portfolio analysis to advisors as a complimentary service to help market their product. Many of the RIAs and advisors to whom they market need support to conduct in-depth portfolio analysis and reporting. Our client wanted to make sure they too offered a sophisticated solution, while providing a more consultative, technology-driven relationship with their advisor clients – one that offered a deeper level of engagement and a solution that could mitigate unintended risks while adding consistency to portfolio performance.

Key Challenges

  • How can I show the value of my firm’s products within a client’s portfolio?
  • How can I differentiate my firm from other firms that offer similar products?
  • How do I get advisors to rely on my asset management firm for content and reporting?
  • How can I do this cost-effectively and efficiently to serve a large number of advisors with each having their own unique model portfolio(s)?

MPI Solution

MPI helped the asset manager address these challenges by delivering an end-to-end portfolio analysis solution while reducing the pain of creating complex and dynamic reports. By working with MPI, the asset manager enjoyed the following benefits which helped strengthen its relationship with its own clients:

  • Efficient production of reports highlighting the competitive advantages of its solutions
  • Visually striking, differentiated reports that are easy to understand and draw advisor interest
  • Sophisticated and flexible cloud-based reporting platform which promotes more interactive engagement with clients
  • Integration of data and content from other sources and systems
  • Insightful portfolio stress-tests, regime analysis and hypothetical shocks powered by proprietary MPI quant models

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As the trickle of announcements about institutional investors exiting hedge funds became a steady stream, MPI decided to explore whether performance really justified an apparent growing disillusionment. Whereas much analysis and commentary to date had focused on the recent failure of hedge funds to beat the S&P 500 and other equity benchmarks, in our research we wanted to find out whether hedge funds had failed on their own terms.