Financial Times

Bounce in crisis-hit funds prompts health warning

“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).

Reputation of Hedge Funds is Hacked Back Hard

“(MPI), a New Jersey quantitative research and analytics provider, has constructed indices that track the performance of elite hedge funds which can be replicated by low-cost exchange traded funds,” explains Chris Flood of the Financial Times. “Its newest benchmark, the MPI Barclay Elite Systematic Traders index, aims to capture the returns of the 20 largest quantitative hedge fund managers.” (subscription required to read article) Learn more about MPI Hedge Fund Indices.

Authers’ Note: Ivy League

“Only Princeton and Columbia have managed to beat a 60/40 portfolio (since 2007), even though it started just before one of the worst crashes for public equities in history. Yale has almost matched it–but it went to far more trouble than it would have taken just to put the endowment’s money into conventional public assets,” writes the FT‘s John Authers in his latest article looking at Ivy League endowment returns, which cites our FY 2017 report.

Harvard’s Poor Run Holds Lessons for University Endowments

“Markov Processes International… uses a model to infer what returns would have been from the endowments’ asset allocations. This led to two key findings… ” John Authers cites MPI’s 2017 Ivy League Endowment returns analysis in his weekly Financial Times Smart Money column.

The hedgefundification of bond funds

In a Financial Times Smart Money column on the increasing sophistication and complexity in bond mutual funds, U.S. Investment Correspondent Stephen Foley refers to MPI Senior Analyst Sean Ryan’s research on unconstrained bond funds.

Do not be fooled by fund rankings

Financial Times US Investment Correspondent Stephen Foley highlights MPI research in his “Smart Money” column regarding the need for greater investor diligence when using risk-adjusted rankings to make investment decisions. As the Financial Crisis fades from performance track records and risk measures, he urges investors not to let the period of turmoil drop from statistical memory and to review risk and ranking methodologies. See the full research from Jeff Schwartz and Megan Woods in MPI’s Research Center (“Crisis in the Rearview Mirror”).

Software helps detect good and bad managers

Chris Flood from The Financial Times talks about MPI’s technology, its ability to reverse engineer hedge fund returns and applications from fund selection to managing risk and detecting potential fraud. “MPI’s software provides valuable insights into how a hedge fund delivers returns. It can help an investor understand whether a manager is adding value. If some parts of returns are left unexplained, it can be a way to raise warning flags, especially when combined with other sources of information,” he quotes a risk officer of a sovereign wealth fund.

‘Risk parity’ strategy has its critics as well as fans

MPI CEO Michael Markov discusses the rising popularity of risk parity and the predictable short term nature of risk in an article published by the Financial Times written by Sophia Grene.

Lifting the lid on hedge fund risks

This article containing details on MPI and their innovative Dynamic Style Analysis (DSA) is published in The Financial Times, a UK’s international business newspaper.