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.

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.

In this post, our research team shows how returns-based scenario analysis can be used to enhance traditional portfolio risk analysis by helping to assess potential fund performance through extreme market events.

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.

2017 Yale endowment report rebuts Warren Buffett’s 2016 Berkshire Hathaway investor letter that “financial ‘elites’”, including endowments, are better off investing in low fee index products and not “wasting” money on active managers’ hefty fees. We did our own calculations and here’s what we found…

It is generally known that endowments invest in risky assets, but quantifying such risks has remained challenging due to a lack of information about returns. We set out to address this challenge and developed a new basis for estimating endowment risks.

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.