Japan’s government pension fund uses Stylus Pro to conduct due diligence on fund managers, analyze investment style and identify key elements of return behavior.
MPI solutions and research are frequently featured in a number of financial and investment media outlets.
RIABiz article “Wealthfront CEO Andy Rachleff oversaw the insertion of leverage, hence risk into portfolios, which has been unrewarding in this market“ covers MPI’s risk parity research and interviews Megan Woods, MPI’s research director.
“…how was it possible for so many endowments to make bad choices among private equity and venture capital funds? The following chart from Markov suggests that it is down to outlandishly wide variations in performance within the private equity/venture capital world,” writes John Authers about MPI’s research in his opinion piece on Bloomberg.
“The quantitative analysis firm has a method for back-solving portfolios using returns rather than squishy self-reported allocations, and produced a study for Institutional Investor,” writes Leanna Orr about MPI in her article “David Swensen Is Great for Yale. Is He Horrible for Investing?”
“Markov Processes also examined the relationship between volatility and performance of all 700 funds over both periods. It found that conservatively constructed funds that exhibited lower volatility (beta) than the market were more consistently top-ranked in the first period, which included the financial crisis. But higher beta (more volatile) funds tended to be more prominent among the better performers in the later 10-year period when the crisis had faded. Markov found a “near linear relationship” between funds’ risk-adjusted returns rankings and performance since the crisis.” Read the full article here (subscription required).
“Low beta funds have seen their Morningstar ratings drop significantly since the tail end of the 2008 financial crisis fell out of the 10-year lookback window used to rate performance. According to research by Markov Processes International, nearly 15% of US equity funds saw their 10-year Morningstar ratings change by at least two stars in the 12 months to the end of April – a 500% increase over the prior year.” Read the full article here. (subscription required)