MPI Research team projected Ivies to have an average loss of -2.9%, with Yale potentially gaining 2.4%. Larger endowments ($1B or more) expected to lose 5.4%, while smaller endowments’ ($500M-$1B and $100M-$500M) losses will be higher at -7.2% and -7.4% respectively. These projections represent a valuable data point for CIOs looking for peer comparisons while valuing their portfolios. Read the entire report below:
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SUMMIT, N.J., May 23, 2022 /PRNewswire/ — Markov Processes International, Inc. (“MPI”), a leading independent FinTech provider of software and services for analyzing investment performance and risk, today announced that their September 2021 analysis of the Structured Alpha fund has again been at the forefront of investment reporting this week after Allianz’s recent admission of fraud and the sale of its U.S. asset management business to Voya.
MPI’s original quantitative analysis utilizing its Stylus Pro software, with patented Dynamic Style Analysis (“DSA”), revealed that the fund was effectively selling market crash insurance and putting investors’ money at risk in the case of market collapse. The steady “alpha” that attracted investors, was nothing more than a stream of option premiums as long as markets remained tranquil – but there was little to indicate that investors in the fund would be protected if a significant market downturn were to occur. As such, investors utilizing such an analysis could have anticipated that they might get burned during a big sell-off (and that their apparent alpha was contingent on an insurance bet).
“The purpose of our analysis into Structured Alpha last Fall was not to play Monday morning quarterback, but to show investment analysts how complex strategies that employ derivatives, leverage and highly dynamic trades can still be well explained by returns-based factor analysis. Efficient and cost-effective quantitative analysis and monitoring of investment products should be a central component of any due diligence around such products, as it is for regulators like the SEC, compliance, auditing and risk professionals and institutional investors,” said Michael Markov, CEO and co-founder of MPI.
Markov Processes International Inc. (MPI) is a leading provider of solutions for investment research, analysis and reporting to the global wealth and investment management industry. MPI works with more than 250 client organizations, including pensions and endowments, sovereign wealth funds, global wealth management firms, institutional consultants, regulators, investment advisors and asset managers. Rooted in the principles of transparency, objectivity and efficiency, MPI takes an innovative approach to problem solving in the areas of fund analysis, risk management, asset allocation and reporting to ensure that its clients have the tools to succeed in ever-crowded markets. Follow us on Twitter @MarkovMPI and connect with us on LinkedIn.
Identifying Liquidity Risk in Fixed Income Mutual Funds: A Quantitative Approach
The 2020 COVID-fueled market crash serves as a reminder for investors, mutual fund managers and regulators of the potential dangers of liquidity risk in fixed-income funds. In a sudden crisis or black swan event, this could potentially put investor capital at risk or cause wider market disruptions.
The quantitative research and approach demonstrated in this webinar will help 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.
In this webinar we discussed:
- The warning signs of bond fund liquidity issues
- COVID-19: Liquidity risk case point
- Challenges of screening funds for liquidity risk
- Benefits of a quantitative liquidity risk analysis
- MPI two quant measures for liquidity screen
- Case Study: Multi-sector and core-plus bond funds
- Open discussion and Q&A
TOKYO and SUMMIT, N.J., June 29, 2020 /PRNewswire/ — Markov Processes International (MPI), a leading investment analysis, research and technology provider for investment professionals, today announced that Japan’s Government Pension Investment Fund (GPIF), the world’s largest public pension fund with AUM of $1.5 trillion, has extended its relationship with MPI to utilize MPI’s Stylus Pro suite for a multi-year contract.
Stylus Pro provides pension fund investment teams with analytical tools and data to conduct due diligence, optimize and stress-test portfolios using historical regimes and forward-looking theoretical scenarios, manage risk and streamline reporting.
Manager selection and surveillance are critical for institutions seeking to grow and protect their members’ assets. MPI’s unique and proprietary quantitative methods are quick to detect style drift and extremely accurate in identifying alpha, risk exposure and key elements of return behavior.
We are delighted that GPIF has decided to extend their relationship with MPI, and we look forward to continuing to provide them with the most advanced, proven quantitative techniques for investment selection, risk management and monitoring.
Michael Markov, CEO of MPI
Pension fund investment teams utilize Stylus Pro to identify, assess, test and monitor public or private funds that fall within their investment mandates. Stylus Pro can monitor how managers and funds perform against their broader peer groups and fund universes and identify when a fund’s performance begins to waiver from its stated strategy and style.
Investment teams can use Stylus Pro to:
- Conduct in-depth comparisons of individual managers, their performance and risk profiles.
- Model, stress-test and optimize portfolios through simulation technologies with powerful asset allocation features
- Scrutinize thousands of hypothetical outcomes with MPI’s patented Calibrated Frontiers, using multiple optimization models such as Mean variance optimization (MVO), Black-Litterman, Conditional Value at Risk (CVaR), downside risk and mean-benchmark tracking.
- Simulate future outcomes that include fat-tailed, extreme possibilities that other systems often miss.
For more information about the report or MPI’s solutions, please email email@example.com or call +1 908 608 1558.
Markov Processes International (MPI) is a leading independent provider of quantitative investment research, technology, analytics and indices for the global investment management industry. MPI’s flagship Stylus solutions are used by hundreds of firms to make smarter investment research, portfolio construction and optimization, performance analysis, risk surveillance, distribution and reporting decisions. MPI Stylus can be delivered as a desktop, enterprise-hosted or cloud-deployed solution. MPI’s Enterprise Solutions team also offers customized configuration and implementation services to meet your organization’s specific needs. Follow us on Twitter @MarkovMPI, connect with us on LinkedIn and read the latest MPI research.
Ivy endowment report offers cautionary tale for investors and allocators to private markets
This is a multi-part research series on fund ratings in which we use proprietary functionality leveraged by our clients to develop custom fund rating systems.
One in Four Hedge Fund Investors Say Global Macro Managed Futures Will See the Most Interest in The Year Ahead