UPenn’s $20.5 Billion endowment posted a return of 41.1% for FY 2021, driven by strong returns in private equity and venture capital.
We use Allianz Structured Alpha hedge fund as an illustration to demonstrate how investors could apply quantitative techniques to assess potential risks of complex volatility strategies.
Using Norwegian pension as an example we provide a quick and easy path for US pensions to become more transparent and regain trust of their beneficiaries as well as general public
Lessons (not) learned: our analysis shows Ivies are at pre-GFC levels of risk
Following up on our most recent article, “Infinity Q: Too Much Alpha,” Infinity Q also managed a hedge fund product, Infinity Q Volatility Alpha, which exclusively employed volatility strategies. Using known sub-strategies as regression factors for a multi-strategy product can prove very useful in identifying the source of both skill and risk in a more complex product.
The suspension of redemptions and planned liquidation of the Infinity Q Diversified Alpha fund (IQDNX, IQDAX) – a $1.8 billion hedge fund-like multi-strategy liquid alternatives mutual fund that was started by investment staff from the family office of a private equity titan – has sent shockwaves through the fund management industry. Using MPI’s quantitative surveillance framework we discover a slew of red flags that could have alerted the fund’s investors.
In 2019, we presented a return-based analysis framework that can be used to analyze complex fixed income funds such as PIMCO Income fund. In this updated blog, we apply a similar methodology to the fund as we did previously to evaluate the performance of the fund during the COVID market distress.
For the second straight year, Brown outperformed all other Ivy endowments by a large margin. Our research team, using MPI Stylus Pro to dissect the endowment annual returns, provides a plausible explanation of the endowment’s spectacular results.
Webcast November 17, 2020 & November 19, 2020
We invite you to join us for our latest webinar, where we’ll use MPI’s patented Dynamic Style Analysis to decipher different volatility strategies, including Allianz‘s Structured Alpha, Gateway and others to provide insights into their performance during the crisis.
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.