Latest Research

Is there a complex or opaque fund segment or peer group that you would like us to add to our research library? If so, please reach out to let us know.

How have risk parity funds actually acted (or reacted) during the current crisis? We use our Stylus Pro system to estimate changes in allocations and leverage levels.

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.

We use our Stylus Pro system’s patented Dynamic Style Analysis (DSA) with daily fund data to determine whether U.S. equity mutual funds have substantially decreased market exposure in the highly volatile period from early-February to mid-March

Fiscal year 2019 was a curious year for the Ivy League endowments. In a year with strong returns in key private market investment classes, the average Ivy underperformed a traditional domestic balanced 60-40 portfolio in FY 2019. Ivies also experienced a wider dispersion of returns and saw a shift in the historical positioning of performance leaders and laggards.

Since its launch in 2007, PIMCO Income Fund has become one of the top-performing US bond funds. However, in 2019 the fund has underperformed both the benchmark and most of its peers. Using this fund as an example, we will demonstrate how advanced returns-based analysis can be used to analyze complex fixed income products without delving into volumes of complex holdings.

The grades for all the Ivy League endowments are in – and they are rather disappointing. Save for Brown, all Ivies underperformed the 9.9% return of a domestic 60-40 portfolio in fiscal year 2019. The Ivy average in FY 2019 was 6.7%, significantly underperforming the 60-40 and reversing two years in which they outperformed the traditional domestic benchmark.

Using our analytical tools and publicly available endowment annual performance data, we project FY2019 performance of large and small endowments, as well as the Ivy League average and Yale

We sought to examine the relationships between endowment size, pedigree and exposure to private assets and what impact that may have on portfolio risk using advanced quantitative methods and a cutting edge methodology to better model the true behavior and risk profile of private market assets.

In this post, our research team examines why investors should proceed with caution when selecting top-ranked funds.

While the health of the bull market, the raging fee wars and the ongoing active vs. passive debate continue to capture the money management industry’s attention, something fascinating has quietly taken place on fund analysts’ radars.