MPI is continuing its long tradition of bringing you special insights into the true drivers of endowment performance and risk. Stay tuned for the launch of our new Endowments research hub, and exciting daily updates throughout the FY2022 reporting season.
DSA
We embarked on a project to estimate 2022 FY performance for Ivies and major US university endowments… weeks before official reports become available.
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.
Berkshire Hathaway had exceptional performance so far this year. We use quantitative analysis of its stock returns to provide some clues.
A smart Coinbase investment launched Duke into rare heights in FY 2021. We use MPI Stylus to estimate the size of Duke’s Coinbase position and its impact on this year’s results.
UPenn’s $20.5 Billion endowment posted a return of 41.1% for FY 2021, driven by strong returns in private equity and venture capital.
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
Lessons (not) learned: our analysis shows Ivies are at pre-GFC levels of risk
Following up on our most recent article, “Infinity Q: Too Much Alpha,” Infinity Q also managed a hedge fund product, Infinity Q Volatility Alpha, which exclusively employed volatility strategies. Using known sub-strategies as regression factors for a multi-strategy product can prove very useful in identifying the source of both skill and risk in a more complex product.