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ClariFi upgrades ModelStation

09 October 2007  |  1431 views  |  0 Source: ClariFi

ClariFi, a Standard & Poor's Capital IQ business and leading provider of software and services focused on quantitative portfolio management and research, today announced the release of ModelStation v3.2.

This new version adds numerous performance and usability improvements throughout the system and significant advances in factor analysis, trade cost modeling, and risk and performance attribution. ModelStation's 3rd party integration has also been expanded with a variety of new applications and models in order to help clients further optimize their workflows.

Highlights of ModelStation v3.2 include:
  • Factor Backtesting - new reports that allow users to analyze a factor's power over multiple time horizons and universe segments.
  • Strategy Simulation - market impact modeling and fees reporting with daily P&L reporting that allows users to accurately simulate trading impact in their strategies.
  • Portfolio Attribution - improved ways for identifying sources of portfolio risk and return including custom groupings by fundamental characteristics and independent reporting and calculation frequencies for improved accuracy.
  • 3rd Party Integration
    • ITG's Cost Curves and Risk Models - Investment Technology Group's agency cost estimator model (ACE) is one of the industry's leading market impact models. This unique data service will help users construct and analyze trade lists in ModelStation's Strategy Simulation and Portfolio Attribution modules using accurate trade cost estimates.
    • MATLAB - integration with MATLAB enables users to use MATLAB scripts directly within ModelStation allowing for custom data transformation extensions.
    • EM Applications - integration with EM Applications statistical risk models for use in portfolio risk analysis.

Gioel Molinari, ClariFI's Founder and Managing Director stated, "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," he continued, "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."

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