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Why Investors Are Pulling Money From GTAA Funds
February 22, 2017
Based on analysis from MPI's Megan Woods, Institutional Investor's Julie Segal reviews the performance of prominent Global Tactical Asset Allocation (GTAA) funds. With recent underperformance driving outflows to the once fast-growing group of strategies, the MPI study seeks to help fund selectors better evaluate GTAA products, a group of disparate, complex and often opaque funds that can potentially add valuable diversification to portfolios. For the full GTAA analysis, see "Parsing the Dynamics of Global Tactical Asset Allocation (GTAA) Funds" on the MPI Research Corner.
The risk-parity fire sale that didn't happen
February, 13 2017
Supported by quantitative analysis and commentary from MPI Director of Research Apollon Fragkiskos, takes a comprehensive look at risk parity funds' behavior, finding that Q4 2016 returns suggest the strategy did not engage in a sell-off or act systematically to push market volatility up and asset prices down as some critics assumed.
Analysing the endowment landscape
December 2016
On page 12, Sean Ryan, Senior Research Analyst at investment research and technology firm, Markov Processes International (MPI) examines whether endowments have adopted the Yale model.
50 Shades of Value? Why Smart Beta Fund Performance Varies So Much
December 9, 2016
Asset managers are racing to launch factor-based and smart beta funds, in part to satisfy investor demand for lower-fee, passive strategies. But a new study from investment research firm Markov Processes International, produced exclusively for Institutional Investor, finds that some of these products vary widely in their performance.
Does Risk Parity Maximize Risk-Adjusted Returns?
November/December 2016
Risk parity implementation starts from the observation that while a traditional 60/40 stock/bond portfolio appears well diversified, equities are a lot more volatile than fixed income securities.
Risk Parity Weathers Bond Rout
November 30, 2016
As bond prices fell this month, a big question on the minds of many hedge fund managers was how risk-parity funds were holding up. Because those vehicles apply hefty amounts of leverage to their bond portfolios, they are seen as especially vulnerable to market sell-offs. And because risk-parity products typically take the form of mutual funds, with substantially lower fees than private funds, many hedge fund managers would like nothing more than to see them stumble when volatility increases — as it did following the Nov. 8 election.
Yale and Copycats Win in 2016
November 9, 2016
A new study of 14 endowments finds that the top three performers for fiscal year 2016 are those closest to the Yale Model. Here's why.
Ivy League endowment performance
November 3, 2016
Yale's endowment ran away from its Ivy League peers during the 2016 fiscal year with a 3.4% total return, according to a report from Markov Process International. Princeton came in second place with an 0.8% return, the only other school with a positive return.
Risk parity post-Brexit
November 1, 2016
Apollon Fragkiskos reports, despite the increase in risk in many asset classes from a year ago, risk parity funds have weathered this summer's volatile markets.
Gars isn't too big – it's just made bad calls
October 27, 2016
At Standard Life Investments the Global Absolute Return Strategies group of funds has swollen to £50 billion in size. Fears about it growing too large have surfaced frequently in 2016 as performance has dropped off dramatically.
X-ray exam: what is really behind Gars' bad run?
October 26, 2016
A comprehensive investigation into Standard Life Investments' Global Absolute Return Strategy (Gars) fund sheds light on why the £27 billion fund has struggled recently.
Why Standard Life's Gars Performance Has Deteriorated
October 26, 2016
An analyst has outlined possible reasons why the performance of Standard Life Investments' £27bn Global Absolute Return fund has deteriorated over the past 18 months, pointing to the "strategic bets" which could have dented returns.
Here's how Yale's endowment left its Ivy League rivals behind
October 20, 2016
MPI said asset allocation remained the most important factor in endowment performance, as returns at Ivy League endowments dropped off over the past year.
Investors urged to rethink role of fixed income
October 20, 2016
Given the low yield environment, fixed income investing is less able to play its traditional role. But rather than taking on more risk to hunt for yield, should bonds be used in a more defensive manner to diversify portfolios?
Do Low-Vol Funds Deliver On Their Promises?
October 20, 2016
MPI has a new report out looking at low-vol smart beta funds. The firm's conclusion? Low-vol does deliver on its claim to keep volatility down, but outperformance is trickier.
Can Anyone Beat David Swensen?
October 19, 2016
The short answer, following a year in which the Yale CIO and the endowment he leads avoided carnage in commodities and emerging markets, is no. Here's why.
Many Ivy League Endowments Fail To Make The Grade
October 19, 2016
There's book smart and there's money smart, and sometimes those two things don't coincide. That could be the takeaway from the latest data from risk analytics firm MPI (Markov Processes International, which reviewed how Ivy League endowments are performing this year. The answer is not great for many of America's top schools.
Beware Liquidity Risk
September 6, 2016
Sean Ryan, Senior Analyst, Research, at MPI (Markov Processes International) asks if there is more danger in High Yield Bond Funds, warning that investors reaping rewards from high yield returns should beware the dangers of liquidity risk.
US HY Market Liquidity Fragile, says MPI
August 23, 2016
The unpredictability of economic policies in the US and Europe, paired with increasing default rates, could hit investors in the US high yield market, said Markov Processes International on Tuesday.
QuantEdge Global Appears More Macro Than Systematic
August 8, 2016
Singapore-based QuantEdge Global has been found sitting on top and at the bottom of the HSBC Hedge Weekly leader board for several years.
Hunt for Returns Reaches Pakistan
August 1, 2016
They might find liquidity to be an issue in emerging markets when there is a need to sell," said Sean Ryan, senior analyst at MPI, a global provider of quantitative research and risk analytics.
Investors in risk parity vehicles should beware 'volatility surprises'
July 25, 2016
The period of market turbulence after the UK voted to leave the EU could herald the start of a new cycle of volatility surprises and investors should be wary of events to which risk parity funds are calibrated to adapt, according to investment research firm Markov Processes International (MPI).
Like Stellar Returns? Better Understand the Risks First
July 22, 2016
A recent article in The Wall Street Journal featured Quantedge Capital, a quantitative global macro hedge fund manager that has gained around 40% after fees year-to-date through June.
World Bond Managers Ride FX Roller Coaster
July 15, 2016
In the world bond fund category, a dramatic change has happened: last year's worst-performing funds are this year's best-performing ones.
The effects of currency losses should never be underestimated
July 14, 2016
Investors need to understand the currency hedging decisions and currency exposures of their managers. But determining currency exposure of a fund is not an easy task, especially if the fund manager actively manages currency risk. In most cases, looking at thousands of long and short positions in currency forwards, futures and options could provide misleading information about hedging levels.
How Brexit Surprised Risk Parity
July 12, 2016
Risk parity strategies were hit hard by the fallout from the UK's referendum on European Union membership, data show—and they could be caught off guard again.
Mutual Funds Show Conflicted View on Puerto Rican Debt
July 7, 2016
Last week, President Barack Obama signed the Puerto Rico Oversight, Management, and Economic Stability Act, or PROMESA, into law. The much-anticipated and debated legislation gives Puerto Rico a path towards restructuring its debt.
Investors chasing returns could be moving towards 'Hexit' at the wrong time
July 6, 2016
Reeling from poor overall investment returns, investors genuinely seem to be on the hunt for the next round of innovative strategies in the alternative investment space. Increasingly, however, they are looking away from hedge funds and eyeing private equity strategies.
Brexit And Hedge Fund Strategies
July 1, 2016
Thursday, June 23, the UK voted to leave the European Union. The "leave" win defied the polls and the bookies. Unfortunately, in the days leading up to the vote, investors around the world seem to have placed a lot of credence in the polls and the betting odds, bidding up asset prices.
Fund managers have been running from Puerto Rico debt
By Jeff Cox
May 10, 2016
"The majority of municipal bond mutual funds don't show exposure to Puerto Rico debt," Sean Ryan, a senior MPI research analyst, said in an interview. "It isn't really a systemic issue, which is one thing that investors should always be worried about. In this case, only a few are exposed versus the entire category."
Article on Liquid Alts, Fiduciary Duty in Family Wealth Report
January 1, 2016
With a bylined article in international wealth management publication Family Wealth Report, MPI President Jeff Schwartz explains how utilization of quantitative analysis for the fast growing, hedge fund-like liquid alternatives segment can strengthen the advisor's fiduciary duty, and how doing so will only become more important to clients and regulators alike.

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