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

SUMMIT, N.J. | NewsDirect | October 03, 2023 01:30 PM Eastern Daylight Time

Ivy League university endowments rebounded from their losses in FY2022, but their significant exposure to venture capital meant that every major endowment likely underperformed traditional 60/40 and 70/30 global equity/bond portfolios, according to projections from Markov Processes International, Inc. (“MPI”), a leading independent FinTech provider of software and services for analyzing investment performance and risk.

The projections come from MPI’s Transparency Lab, which tracks the performance of opaque pensions and endowments.

For fiscal year 2023, MPI projects that the Ivy League endowments tracked by the Transparency Lab had an average return of 7.13%, a reversal from the negative return of -2.39% for the group in fiscal year 2022. But that performance is expected to lag both traditional portfolios of global stocks and bonds: 9.36% for the 60-40, and 12.9% for the 70-30 over the same 12-month period ending June 2023. Endowments with the highest exposure to global equities (19.4% S&P 500 Index and 19.6% MSCI EAFE returns for the period) are expected to outperform, especially the ones that are known to make technology-focused investments – both in public equity and alternatives, as the S&P 500 Information Technology index returned 40% for the period. However, endowments with significant venture capital (VC) investments are expected to lag, with a -10% return for the period based on second-quarter preliminary results from Cambridge Associates. VC is the only major asset class with significant negative impact on FY2023 results.

MPI Transparency Lab estimates that the University of Pennsylvania, Dartmouth University, Brown University and Columbia University endowments will have higher-than-average returns. Meanwhile, Harvard University and Princeton University are projected to be at the lower end of the Ivies.

“Large university endowments are notoriously opaque, providing little indication of what results to expect until they officially release their results, making it a regular autumn spectacle,” said Michael Markov, MPI’s co-founder and CEO. “But even then, after the annual returns are published, there’s little indication of both sources of returns and the risks that were taken to achieve them. We apply our most advanced techniques to publicly sourced data to shed light on this important segment.”

MPI utilizes proprietary technology and public data sources to peek, quantitatively, behind the curtain of a wide range of investments, providing information that is often impossible to obtain otherwise. With the Transparency Lab, all that data and analysis is contained in one place and publicly available, allowing investors, beneficiaries, regulators, researchers, journalists, and other stakeholders to garner unique insight into some of the largest and most opaque investors.

With the MPI Transparency Lab, registered users can view analytics and download “MPI-360” reports that help them uncover trends in asset exposures, explain drivers of both recent and historical results, obtain estimates of risks, drawdowns and efficiency, perform historical stress tests, and evaluate various hypothetical scenarios.

MPI uses its proprietary Dynamic Style Analysis (DSA) and public annual returns to reverse-engineer asset exposure dynamics of large investor portfolios. When endowments report only annual performance figures, a decade’s worth of performance is represented by only 10 data points. Traditional static and rolling-window methods of regression analysis struggle to find credible insights from such infrequent data. MPI’s DSA, however, is uniquely adapted to work with such limited data.

For additional information on MPI’s proprietary data, visit the Transparency Lab. For further information, contact MPI at +1 (908) 608-1558 or info@markovprocesses.com.

SUMMIT, NJ | NewsDirect| July 25, 2023 01:51 PM Eastern Daylight Time

 Markov Processes International, Inc. (“MPI”), a leading independent FinTech provider of technology and services for analyzes of alternative investments, today released five-year performance data for the MPI BEST20 Tracker Index, an investible benchmark showing that it is possible to capture diversification and risk-mitigation benefits of some of the most sophisticated systematic trading strategies.

In 2018, MPI partnered with BarclayHedge to develop the MPI Barclay Elite Systematic Traders Index (BLOOMBERG: MPBEST20) to provide a more representative benchmark for an institutional portfolio of hedge funds focused on managed futures. The index comprises the 20 largest systematic traders reporting to the BarclayHedge database. At the same time, MPI also launched the MPI BEST20 Tracker Index (BLOOMBERG: MBEST20T) that aims to closely track the performance of the hedge fund benchmark using liquid, transparent exchange-traded funds.

“Five years ago, we came to realize that the proliferation and diversity of systematic trading strategies coupled with a wide range of their outcomes virtually begged for an investible benchmark to measure their performance,” said Michael Markov, founder and chief executive officer of MPI. “The result is industry-first benchmark that captures common trade signals of the group of 20 elite systematic traders delivering consistent performance with low volatility.”

Five-year performance data shows the index is truly representative of elite managed futures strategies, and the tracker provided attractive returns during major equity market drawdowns while delivering positive returns at other times.

“BarclayHedge’s indices, including the MPI Barclay Elite Systematic Traders Index, have long represented a veritable gold standard for measuring the performance of systematic traders,” reflected Ben Crawford, Vice President of Research at BarclayHedge. “Now, through our partnership with MPI, we are proud to have contributed another cutting-edge capability to the managed futures industry’s toolkit: The industry’s first investible managed futures benchmark, the MBEST20 Tracker Index. Today, whether you’re a CTA investor, a hedge fund manager, or the sponsor of an alternative ETF or UCITS product, the MBEST20 Tracker Index can provide you with an indispensable yardstick for what’s truly achievable with an allocation to systematic managed futures funds.”

It is well documented that incorporating managed futures in a portfolio can enhance returns, mitigate risks, and improve diversification. However, finding the right benchmark has been elusive for many investors. MPI’s index construction approach represents a logical evolution in the history of hedge fund performance tracking. First generation hedge fund indices sought to measure the performance of the entire industry, which introduced biases that skewed results. MPI’s Hedge Fund Index model seeks to correct for this shortcoming by targeting elite subsets of hedge funds to create a more stable, accurate gauge for measuring performance.

For additional information on the MPI BEST20 Tracker Index, please contact MPI at +1 (908) 608-1558 or info@markovprocesses.com.

 

About 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 200 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-more-crowded markets. Follow us on Twitter @MarkovMPI and connect with us on LinkedIn.

 

About BarclayHedge

BarclayHedge, a division of Backstop Solutions Group, maintains data on more than 7,000 hedge funds, funds of funds and CTAs to assist institutional investors, brokerage firms and private banks worldwide save time and resources by providing data for research and due diligence, performance benchmarking, marketing and strategy replication. Connect with us on LinkedIn.

This new offering gives advisors who serve the 401(k) and defined contribution market flexible analytics and reporting that help differentiate their practices to win and retain plan sponsors.

One-of-a-kind offering provides unique insights into some of the largest and most opaque funds so all stakeholders can better understand their performance and potential risks.

MPI today released eight-year performance data for its MPI Eurekahedge 50 Tracker Index that indicate its basket of liquid, retail exchange-traded funds can deliver the performance of a diversified portfolio of institutional-quality hedge funds.

MPI Research team projected Ivies to have an average loss of -2.9%, with Yale potentially gaining 2.4%. Larger endowments ($1B or more) expected to lose 5.4%, while smaller endowments’ ($500M-$1B and $100M-$500M) losses will be higher at -7.2% and -7.4% respectively. These projections represent a valuable data point for CIOs looking for peer comparisons while valuing their portfolios. Read the entire report below:

The Summer of Their Discontent: FY2022 Endowment Performance Projections | Markov Processes International

MPI’s 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. Illuminated sources of risk and alpha for investors.

On May 15th, 2022, AllianzGI pleaded guilty to securities fraud and agreed to pay about $6 billion in penalties and restitution to investors in the Structured Alpha funds. Many months earlier, MPI’s September 2021 quantitative research Should Institutional Investors be Selling Market Crash Insurance? Do they Know They Are? revealed that the funds were effectively selling market crash insurance and putting investors’ money at risk in the case of market collapse. Read entire press release here.

CEO and Co-founder Michael Markov discusses MPI’s analysis of claims that the American Century Value fund is a ‘closet indexer’ with Citywire.

Institutional Investor features MPI’s latest research series on university endowments in fiscal year 2021. In the article, Co-founder and CEO Michael Markov discusses how asset allocation played a far more important role in returns than manager selection.