Management Process Information Analysis (MPI)
The most typical application for performance attribution is the analysis of the individual portfolio/fund. However extensions of the concept are widely used.The measurement of composites of portfolios (GIPS-standard) is the most well-known extension in the market today.
Many more aspects of portfolio management, specifically those where complex products or investment processes are concerned require detailed performance analysis. Umbrella funds, funds driven by quantitative models, model portfolios underlying a series of related funds and master-funds are examples of such products. One could even be interested in a detailed analysis of the overall investment process within the asset management organization.
To analyze such complex products and processes the PM Group has developed a special attribution tool, the MPI analysis. It is based on the assumption that the particular investment process underlying a product can be disseminated into several distinct decision-making levels. This means that performance contributions of these specific decision-making levels can be analyzed and properly quantified separately.
Total return is sub-divided into its relevant components for each level using the standard attribution concepts, familiar to asset managers, such as allocation, selection and currency. Traditional analysis can only provide an analysis of the complex product against its overall benchmark losing all detailed information for the individual levels. With the help of the MPI analysis tool, however, all success factors of the out-performance are assigned to their appropriate decision-making level. MPI can precisely quantify all attribution factors of all decision-making levels within complex investment products.
The visual representation of the analyzed data supports precise conclusions on the success factors underlying each particular step in the investment process of the product.
Below are some examples on the multiple use of the MPI analysis tool.
