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.
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.
As the trickle of announcements about institutional investors exiting hedge funds became a steady stream, MPI decided to explore whether performance really justified an apparent growing disillusionment. Whereas much analysis and commentary to date had focused on the recent failure of hedge funds to beat the S&P 500 and other equity benchmarks, in our research we wanted to find out whether hedge funds had failed on their own terms.
Using predictive analytics to reproduce the beta exposures of the largest hedge fund