ClariFI, the quantitative portfolio management software firm owned by Standard & Poor’s, has upgraded its ModelStation application to enhance its ability to measure transaction costs and market impact.
The company says version 3.2 incorporates improvements to factor analysis, trade cost modelling, and risk and performance attribution. It will also be easier to integrate ModelStation with third party applications.
The major improvements are factor backtesting, or new reports that allow users to analyze a factor's power over multiple time horizons and universe segments' strategy simulation, or market impact modeling and fees reporting with daily P&L reporting that allows users to simulate trading impact in their strategies; portfolio attribution, or better ways of identifying sources of portfolio risk and return, including custom groupings by fundamental characteristics and independent reporting and calculation frequencies for improved accuracy; and the inclusion of ITG's cost curves and risk models, which help users assess market impact models.
"This new version of ModelStation incorporates a great deal of feedback from our clients and prospects and underlines our commitment to providing a very open and flexible platform that can help our clients discover new sources of alpha," says Gioel Molinari, ClariFI's Founder and Managing Director. "I am excited to move forward with the global rollout of ModelStation v3.2 as I believe its enhancements can give our clients a distinct competitive advantage in the marketplace."