Eight years ago, we partnered with Eurekahedge to develop a unique hedge fund benchmark. We review live performance of the index and its liquid tracker – MPI Eurekahedge 50 Tracker Index.
SUMMIT, N.J., May 23, 2022 /PRNewswire/ — Markov Processes International, Inc. (“MPI”), a leading independent FinTech provider of software and services for analyzing investment performance and risk, today announced that their September 2021 analysis of the Structured Alpha fund has again been at the forefront of investment reporting this week after Allianz’s recent admission of fraud and the sale of its U.S. asset management business to Voya.
MPI’s original quantitative analysis utilizing its Stylus Pro software, with patented Dynamic Style Analysis (“DSA”), revealed that the fund was effectively selling market crash insurance and putting investors’ money at risk in the case of market collapse. The steady “alpha” that attracted investors, was nothing more than a stream of option premiums as long as markets remained tranquil – but there was little to indicate that investors in the fund would be protected if a significant market downturn were to occur. As such, investors utilizing such an analysis could have anticipated that they might get burned during a big sell-off (and that their apparent alpha was contingent on an insurance bet).
“The purpose of our analysis into Structured Alpha last Fall was not to play Monday morning quarterback, but to show investment analysts how complex strategies that employ derivatives, leverage and highly dynamic trades can still be well explained by returns-based factor analysis. Efficient and cost-effective quantitative analysis and monitoring of investment products should be a central component of any due diligence around such products, as it is for regulators like the SEC, compliance, auditing and risk professionals and institutional investors,” said Michael Markov, CEO and co-founder of MPI.
Markov Processes International Inc. (MPI) is a leading provider of solutions for investment research, analysis and reporting to the global wealth and investment management industry. MPI works with more than 250 client organizations, including pensions and endowments, sovereign wealth funds, global wealth management firms, institutional consultants, regulators, investment advisors and asset managers. Rooted in the principles of transparency, objectivity and efficiency, MPI takes an innovative approach to problem solving in the areas of fund analysis, risk management, asset allocation and reporting to ensure that its clients have the tools to succeed in ever-crowded markets. Follow us on Twitter @MarkovMPI and connect with us on LinkedIn.
Using MPI’s Dynamic Style Analysis (DSA), we analyzed 600 equity hedge funds to assess their exposure to Russian equities
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.
In stark contrast to FY 2016, this past year was a strong one for most endowments. In fact, nearly all the Ivy League endowments, Harvard being the only exception, beat the 60-40 portfolio, a commonly cited benchmark that endowments measure their performance against.
The returns of endowments can be attributed to two fundamental components: asset allocation and security selection. Asset allocation is what a factor model is generally able to explain, shown in terms of factor exposures.
We use Bridgewater All Weather, one of the largest hedge funds, to illustrate how to quantitative techniques could provide investors with a more dynamic understanding of the potential fund behavior intra-month using only monthly fund data.
We look at the largest endowments and find striking similarities in their asset class exposures. At the same time, some endowments stand out both in terms of allocations and FY2016 performance.
An 1873 meeting that brought Harvard, Yale and Princeton together to codify the rules of American football also debuted a sports conference later known as the “Ivy League — eight elite institutions whose heritage, dating from pre-Revolutionary times, became formative influences shaping American character and culture. These schools also pioneered endowment investment management, thus helping to secure the nation’s educational legacy for posterity.
A July 20th WSJ article featured Quantedge Capital, a quantitative global macro hedge fund manager that gained 40% after fees year-to-date through June. We provide a quantitative insight into potential sources of such performance.