History
MPI was founded by Michael Markov and Mik Kvitchko in 1990 to provide consulting services for institutional investors. Mr. Markov had conducted research in the portfolio optimization area as well as in style and performance analysis, which led to the development of unique commercial software (Stylus suite of products).
In 1992, Michael Markov and Mik Kvitchko developed the first Returns-Based Style Analysis (RBSA) software application based on Nobel Laureate William Sharpe's methodology . RBSA can be used to identify combinations of passive investments to closely replicate the performance of funds.
Three years later, MPI introduced the industry’s first macro-investment decision support system, MPI Tribute. MPI then released Stylus Pro Version 1.0 as the first application to employ daily data. It also was the first application to incorporate a locally-weighted regression, factor selection model and Predicted R-Squared, a proprietary cross validation technique.
In 1998, MPI developed the first visual manager search application, Enterprise Prospector, which can be used to create custom statistics, performance measures, peer groups and investment product rating systems. Four years later, MPI introduced the first Dynamic Style Analysis (DSA) model, an advanced methodology for returns-based analysis of hedge funds. DSA featured a proprietary cross validation technique, Predicted R-Squared. In 2008, MPI released its patent-pending Calibrated Frontiers methodology, an innovative and robust approach to portfolio resampling. Two years later, MPI released the new Stylus Web with “plan level” reporting functionality.
Read more about this topic: Markov Processes International
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