Latest Research

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.

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.

Using Standard Life Global Absolute Return Fund (SLI GARS) weekly performance data, we show how sophisticated factor analysis can provide valuable insights into this fund’s complex global “go anywhere” investment strategy.

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.

In this post we take a closer look at an important building block of many multi-factor portfolios, low volatility.  Low volatility funds seek to take advantage of the “low volatility anomaly”  – the empirical observation  that lower risk, securities outperform their higher volatility counterparts.

In the winter of 2015, an almost unheard of situation happened. A mutual fund, normally required to guarantee daily liquidity, blocked its clients from withdrawing money. The Third Ave Focused Credit Fund (TFCIX), citing losses and a lack of liquidity in the high yield bond market, put some of its assets into a trust to be sold over time.

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.

We illustrate how such an event such as “Brexit” could be (a) used as a litmus test to reconcile TDF information with performance results; and (b) alert to suitability of the selected investment option.

Risk parity strategies hold the promise of smooth sailing through periods of market turbulence, offering consistent performance via risk diversification. However, during Brexit the losses they experienced were very high by historical standards as they came very close to exceeding, or exceeded, the 95% worst outcome as estimated by the historical VaR.

In the world bond fund category, a dramatic change has happened: last year’s worst-performing funds are this year’s best-performing ones.