MPI Research

We look at the universe of active crypto hedge funds and observe that by and large they delivered on the promise… at least the ones that survived so far.

Investors – and the Feds – need to focus less on specific stories like MicroStrategy’s Bitcoin exposure, and more on how big the systemic risk picture may be for all of us.

Investors – and the Feds – need to focus less on specific stories like MicroStrategy’s Bitcoin exposure, and more on how big the systemic risk picture may be for all of us.

Using MPI’s Dynamic Style Analysis (DSA), we analyzed 600 equity hedge funds to assess their exposure to Russian equities

Investors – and the Feds – need to focus less on specific stories like MicroStrategy’s Bitcoin exposure, and more on how big the systemic risk picture may be for all of us.

Berkshire Hathaway had exceptional performance so far this year. We use quantitative analysis of its stock returns to provide some clues.

Investors have a tendency to downplay interest rate sensitivity as a factor influencing equity products, with the assumption being that its effect must be negligible at most. One of a handful of exceptions to that assumption, however, is concern over the rate sensitivity of low volatility “smart beta” funds.

Continuing our exploration into the smart beta segment (Part 1, Part 2), in this third post we introduce a simple “IQ Test” that can help investors and managers measure the “smartness” of the increasing number of non-cap-weight rules-based products on the market.

In this post, our research team demonstrates how scenario analysis can highlight different risk sensitivities among same-vintage TDFs that could go undetected by traditional risk measures.

Morningstar’s 2017 Target Date Landscape Report indicates that approximately one quarter of TDF series shifted the target equity allocation of at least one vintage by 15% or more over the last 5 years and nearly half by at least 5%.

We provide some clues as to why some of the largest endowments have disappointing results in FY2023

The projections come from MPI’s Transparency Lab, which provides unique insights into the styles, risks, and performance of traditionally opaque pensions and endowments.

Developed through a partnership with BarclayHedge, a unique investable benchmark delivers consistent performance and low risk, while preserving downside protection benefits of the managed futures strategies.

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.

Risk parity strategies can look very different from each other in implementation.  They may have different risk budgets, risk targets, asset class buckets or even different definitions of risk. In this particular period, however, the disparity in performance is staggering.

A WSJ article features a fund which outperformed all of the actively managed US stock mutual funds by a large margin. We found its twin ETF from WisdomTree that was spared the accolades. And we use advanced quant techniques to dissect the strategy and its winning bets.

The quantitative research and approach demonstrated in this white paper, helps to provide a useful and pragmatic framework for investment practitioners to screen for liquidity risks when selecting new fixed-income products, as well as when conducting ongoing monitoring of their current bond funds.

This white paper looks at the period of the increased volatility in the financial markets leading up to and on November 8th and provides valuable insights into internal workings of risk parity strategies during periods of heightened volatility.