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.

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

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.

We use Allianz Structured Alpha hedge fund as an illustration to demonstrate how investors could apply quantitative techniques to assess potential risks of complex volatility strategies.

It’s been a wild rollercoaster ride these days for Bitcoin investors. The cryptocurrency hit an all-time high of $64k in April only to plummet nearly 50% a month later. Last year, as the entire world shut down access to mountain peaks and surfing spots, people started to look for stay-at-home ways to supply their adrenaline fix – and speculative trading fit the bill.

Following up on our most recent article, “Infinity Q: Too Much Alpha,” Infinity Q also managed a hedge fund product, Infinity Q Volatility Alpha, which exclusively employed volatility strategies. Using known sub-strategies as regression factors for a multi-strategy product can prove very useful in identifying the source of both skill and risk in a more complex product.

The suspension of redemptions and planned liquidation of the Infinity Q Diversified Alpha fund (IQDNX, IQDAX) – a $1.8 billion hedge fund-like multi-strategy liquid alternatives mutual fund that was started by investment staff from the family office of a private equity titan – has sent shockwaves through the fund management industry. Using MPI’s quantitative surveillance framework we discover a slew of red flags that could have alerted the fund’s investors.

We use our tools and proprietary dynamic factor model to analyze Renaissance RIEF to gain insight into the results in the first quarter of 2020.

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?