MPI Research

Leveraging our patented analytical models to examine and explore some of the most pressing issues in the investment community.

Risk

Using returns-based investment risk analytics to shine a brighter light into the dark areas of individual funds and investment portfolios.

This document provides an introduction to MPI portfolio stress testing methodology as well as a step-by-step overview of how to conduct fund- and portfolio-level stress tests within the MPI Stylus Pro application.

In this post, our research team demonstrates how scenario analysis can highlight different risk sensitivities among same-vintage TDFs that could go undetected by traditional risk measures.

Opaque Investments

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

Bitcoin has had a spectacular year, with its price growing by 2,000 percent, topping out at nearly $20,000 before falling to a little over a third of that value. So, we posed the question to ourselves: how might investors have achieved Bitcoin-like returns over the last two years without needing Ambien to stomach the whipsaw swings in price?

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.

Smart Beta

Analyzing the opportunities and challenges tied to one of the fastest growing fund segments.

Investors have a tendency to downplay interest rate sensitivity as a factor influencing equity products, with the assumption being that its effect must be negligible at most. One of a handful of exceptions to that assumption, however, is concern over the rate sensitivity of low volatility “smart beta” funds.

Continuing our exploration into the smart beta segment (Part 1, Part 2), in this third post we introduce a simple “IQ Test” that can help investors and managers measure the “smartness” of the increasing number of non-cap-weight rules-based products on the market.

Target-Date Funds

A quantitative analytical series looking at one of the most popular retirement investing fund segments in the market.

In this post, our research team demonstrates how scenario analysis can highlight different risk sensitivities among same-vintage TDFs that could go undetected by traditional risk measures.

Morningstar’s 2017 Target Date Landscape Report indicates that approximately one quarter of TDF series shifted the target equity allocation of at least one vintage by 15% or more over the last 5 years and nearly half by at least 5%.

Endowments

A deeper look inside the investment returns of some of the most prestigious endowments in the world.

Fiscal year 2019 was a curious year for the Ivy League endowments. In a year with strong returns in key private market investment classes, the average Ivy underperformed a traditional domestic balanced 60-40 portfolio in FY 2019. Ivies also experienced a wider dispersion of returns and saw a shift in the historical positioning of performance leaders and laggards.

The grades for all the Ivy League endowments are in – and they are rather disappointing. Save for Brown, all Ivies underperformed the 9.9% return of a domestic 60-40 portfolio in fiscal year 2019. The Ivy average in FY 2019 was 6.7%, significantly underperforming the 60-40 and reversing two years in which they outperformed the traditional domestic benchmark.

Fund Research

Our library of individual fund and peer group analysis. Looking for a specific fund or peer group that you don't see? Let us know.

Since its launch in 2007, PIMCO Income Fund has become one of the top-performing US bond funds. However, in 2019 the fund has underperformed both the benchmark and most of its peers. Using this fund as an example, we will demonstrate how advanced returns-based analysis can be used to analyze complex fixed income products without delving into volumes of complex holdings.

In this post, our research team examines why investors should proceed with caution when selecting top-ranked funds.

This white paper looks at the period of the increased volatility in the financial markets leading up to and on November 8th and provides valuable insights into internal workings of risk parity strategies during periods of heightened volatility.

Using Standard Life Global Absolute Return Fund (SLI GARS) weekly performance data, we show how sophisticated factor analysis can provide valuable insights into this fund’s complex global “go anywhere” investment strategy.