Opaque Investments

Better understanding complex and opaque products through more dynamic analytical models.

We use Bridgewater All Weather, one of the largest hedge funds, to illustrate how to quantitative techniques could provide investors with a more dynamic understanding of the potential fund behavior intra-month using only monthly fund data.

A July 20th WSJ article featured Quantedge Capital, a quantitative global macro hedge fund manager that gained 40% after fees year-to-date through June. We provide a quantitative insight into potential sources of such performance.

As the trickle of announcements about institutional investors exiting hedge funds became a steady stream, MPI decided to explore whether performance really justified an apparent growing disillusionment. Whereas much analysis and commentary to date had focused on the recent failure of hedge funds to beat the S&P 500 and other equity benchmarks, in our research we wanted to find out whether hedge funds had failed on their own terms.