The latest information on our product and service enhancements, client wins and company moves.
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 firstname.lastname@example.org 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.
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