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.

The endowment model, and active management in general, has come under increased scrutiny, while indexed, or passive, products have grown in popularity and number. Regardless of where you stand on that debate, it’s hard to deny that the Ivies approach to asset allocation has been very good.

Similar to 2017 performance, this past fiscal year was a strong one for most Ivy League endowments. Fiscal year 2018 is noteworthy, however, for being the first year that long horizon (10-year) returns from all Ivy endowments lagged behind the 60-40 portfolio.

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.

In this post, our research team uses regime-based investment risk analytics to present an approach to assessing the size and significance of investor blind spots during a typical manager screening process.

After years of underperformance following the financial crisis, the non-traditional bond fund segment is beginning to shine, outperforming the broader market index in the face of rising rates.

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.