Fund Research

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.

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

PIMCO Income fund had some of the largest by size exposure to Russian debt. We use quant tools to monitor daily the size and impact of this segment on the fund’s performance from the start of the Russian attack on Ukraine.

A fund’s alpha is at the core of a class-action lawsuit.

Does alleged index hugger American Century Value really belong on the naughty list?

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

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.

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.