Core Standard Feature Enhancements
are changes or additions to the standard platform implemented automatically for all institutions.

New Morningstar Global Multi-Asset Risk Model Methodology – Jan. 31, 2024

Originally posted Jan. 3, 2024

Morningstar will release a new Global Multi-Asset Risk Model methodology which will offer improvements in the coverage of multi-asset and fixed-income managed investments.

The Morningstar Quantitative team will release the updated risk model methodology and its associated calculation of the Morningstar Portfolio Risk Score (MPRS) to have all updated data available in Morningstar products containing the Morningstar Global Multi-Asset Risk Model exposure data or MPRS by Jan. 31, 2024.

The new methodology, called Holdings and Returns-Based Style Analysis, applies to investments that already have a portion of holdings-based risk model coverage, between 30% and 80%. This will model the entire portfolio by supplementing the partial holdings coverage using a sophisticated returns-based style analysis framework. This new methodology allows the risk model data to be estimated for 100% of the portfolio.

From this update, clients can expect to see increased coverage and quality, most notably for Allocation and Fixed Income, for the MPRS scores for funds and portfolios that hold eligible funds that include holding based coverage for eligible funds that currently only have partial risk model coverage today.

No client action is needed as the new methodology will be applied to eligible funds once the calculations are updated in products by the end of January 2024.

To learn more about this new methodology, please refer to the updated methodology document as well as the MPRS methodology paper.

Contact your Customer Success Manager with any additional questions or needs.