Stylus Pro V11.5
Stylus Pro Version 11.5 delivers advances in our mission to deliver comprehensive portfolio risk analysis, while also enhancing many other areas of the software.
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MPI Application Updates
MPI Stylus 11.5
New Charting Options
This version of Stylus adds two new charting types, the Radar Chart and Step Chart. Each chart introduces graphical setups that were not previously possible in earlier Stylus versions. The Radar Chart or Spider Chart, serves as a way to analyze multiple categories in one clean graphical visual. The Step/Level Chart functions like a Line Chart, but can indicate the exact time periods that had instances of rapid change and volatility within a series. Both of these charting types can be accessed with the chart’s Attributes Editor.
Stylus 11.5 introduces additional statistics found within the MPT Statistics Block: Alpha T-Stat, Alpha P-Value, Alpha Standard Error, Beta T-Stat, Beta P-Value, Beta Standard Error, X Number of Drawdowns.
Stylus 11.5 provides users with the ability to specify a number of largest drawdowns instead of just one. It includes all the relevant information (duration/period/return/recovery period) for each drawdown
Stylus now also offers the ability to incorporate rich text, such as HTML tags for hyperlinks, in tables.
Stylus 11.5 builds upon the advanced risk analysis that was first introduced in Stylus 11.4 and adds additional features and usability enhancements to provide for a better user experience.
Regime and Stress Test Model Enhancements
Stylus now has the ability to run a regime model or historical stress test using a fund’s current exposures or average exposures over a time period. This provides a better estimate of the regime or stress event’s impact of the fund as it currently exists. We’ve also added more flexibility in terms of creating your own regimes. For example, you can now incorporate month over month changes into your regime definitions.
From a visual perspective, we’ve made several changes. You can now shade the background of the impacted time periods in charts through a Gallery icon. We’ve also made it easier for you to see more details of the regime through new labeling and ready to use Gallery disclosures.
We’ve also added the ability to include multiple regimes, regardless of the regime hierarchy, into a single chart.
Scenario Analysis Enhancements
Stylus 11.5 provides several updates to improve the overall Scenario Analysis workflow.
A new chart/table block entitled Scenario Calculation has been added to provide greater transparency into the calculations used to generate scenario results. We’ve also added additional labeling and information related to the scenario that can be seamlessly pulled into a study from the Gallery.
We’ve added the flexibility to directly shock a manager when using scenarios or regimes. When using this option, Stylus regresses the manager directly against the shocked index and calculates the impact accordingly. Stylus now allows you to create scenarios that shock multiple indices at the same time. For example, you can create a scenario that includes the following shocks: S&P Down 20%, VIX going to 30 and Yield Curve steepens by 50bps.
In Stylus 11.5, MPI has added and updated several features related to proxies.
Stylus now allows you to use a proxy to overwrite specific returns of a manager with a proxy. This is especially useful when a manager has a partial first month return. However the feature can also be used to forward fill returns for a fund that is no longer active (in addition to being able to backfill returns) as well as override any other periods. This feature also allows you to directly enter the return for a specific month(s).
Several updates made to the Proxy screen to provide more transparency into the proxies being used. A review screen was added to show all proxied funds and the actual proxies that are being applied to each fund in one place. In addition, proxied funds now appear underlined in the Design tree.
Stylus now allows you to specify a benchmark, as well as a peer group or style weighting to serve as a proxy for extending a manager return series.
Stylus 11.5 provides several updates to add more functionality to Prospector. Proxy capabilities have been extended to Prospector. Prior to this release, they were only available in the Stylus module. New functions allow users to calculate correlation and covariance between two return series and adjust these series with optional lag parameters. Clients can use a primary and secondary benchmarks for each fund in prospector. In addition, when users send a manager from Prospector to Stylus, Stylus 11.5 now allows the Stylus parameters, Style outline, benchmark and peer groups to get overwritten with prospector’s settings.
Stylus 11.5 also introduces the ability to score funds in a layered manner in the same database. This addresses the issue of ranking changes due to the peer group size increasing over the course of the month as more managers report their returns. One will be able to update the peer group repeatedly and layer new funds onto the original universe without changing the original ranks.
Glide path functionality has been added to allow simulations of changing future weights of portfolio components. Users can set asset allocation weightings that change at specified intervals and analyze the future expectations.