MPI Research

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

Fund Ratings

Providing insights into fund rating system methodologies, best practices and potential biases.

We argue that Sharpe Ratios could be hugely deceiving for derivative strategies – especially if they are in an outlier category as it was the case for the Allianz Structured Alpha funds.

Risk

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

Investors – and the Feds – need to focus less on specific stories like MicroStrategy’s Bitcoin exposure, and more on how big the systemic risk picture may be for all of us.

Using MPI’s Dynamic Style Analysis (DSA), we analyzed 600 equity hedge funds to assess their exposure to Russian equities

Opaque Investments

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

Investors – and the Feds – need to focus less on specific stories like MicroStrategy’s Bitcoin exposure, and more on how big the systemic risk picture may be for all of us.

Berkshire Hathaway had exceptional performance so far this year. We use quantitative analysis of its stock returns to provide some clues.

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.

A smart Coinbase investment launched Duke into rare heights in FY 2021. We use MPI Stylus to estimate the size of Duke’s Coinbase position and its impact on this year’s results.

Haunted by the ghosts of 2009, Harvard endowment’s lower risk appetite still pays off with a 33.6% return.

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.

Using MPI’s Dynamic Style Analysis (DSA), we analyzed 600 equity hedge funds to assess their exposure to Russian equities

PIMCO Income fund had some of the largest by size exposure to Russian debt. We use quant tools to monitor daily the size and impact of this segment on the fund’s performance from the start of the Russian attack on Ukraine.

The quantitative research and approach demonstrated in this white paper, helps to provide a useful and pragmatic framework for investment practitioners to screen for liquidity risks when selecting new fixed-income products, as well as when conducting ongoing monitoring of their current bond 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.