How are the MPS Indices constructed?

The MPS Indices are constructed using performance and asset allocation data submitted by participating providers classified based on equity exposure over a rolling three-year period.

Methodology

Data Collection & Eligibility

• Data is sourced from discretionary investment managers offering MPS solutions.

• Eligible providers must meet regulatory standards and report data for all MPS solutions they offer.

• Performance data must be submitted net of management fees, VAT or equivalent sales taxes, underlying instrument charges and other charges related to the management of the solution.

• Data is collected quarterly, with monthly resolution.

Classification by Equity Allocation

• MPS solutions are categorised based on their three-year rolling average equity allocation.

• The five risk categories are defined as follows:

  • 0-20% Equity

  • 20-40% Equity

  • 40-60% Equity

  • 60-80% Equity

  • 80-100% Equity

• Models that exceed their designated equity range for 12 consecutive months are reclassified.

• Immediate reclassification occurs if equity allocation breaches predefined extreme limits.

Index Calculation

• Performance is aggregated using a geometric mean, reflecting the compounding nature of investment returns.

• All indices are rebased to 100 at inception, ensuring consistency and comparability.

• Weighting mechanisms are applied to ensure fair representation, preventing large providers from disproportionately influencing results.

Data Integrity & Validation

• Automated and manual validation checks identify inconsistencies, outliers and potential data errors.

• Regular audits ensure compliance with submission guidelines and accuracy in reporting.

• Anomalous data is either flagged for correction or excluded from calculations.

Governance & Oversight

• The methodology adheres to the IOSCO Principles for Financial Benchmarks.

• ARC Research Limited oversees the indices, ensuring transparency, integrity and independence.

• Quarterly and annual reviews are conducted to assess methodology effectiveness and market alignment.

Publication & Accessibility

• Preliminary estimates are released daily and monthly.

• Final index performance data is published quarterly.

• Reports include index performance tables, quartile ranges, rolling performance charts, and a list of contributors.

• Indices are publicly available via our website, the ARC Suggestus Research Platform and third-party platforms.