MPI Research Corner

by Daniel Li and Alexandre Dussaucy By the end of September, John Paulson’s two flagship funds, the Paulson Advantage and the leveraged Advantage Plus fund, have lost 32% and 45%, respectively, for the year. As these losses loom large, many analyses and commentaries are trying to explain what went wrong. These reports, such as the [...]

Tools and techniques to identify long term style and short term exposures of a complex investment strategy Abstract The largest mutual fund in Europe, Carmignac Patrimoine, has generated impressive relative returns in the recent financial market downturn over 2007-2009 and has over twenty-one years of consistently steady risk-adjusted performance―especially in down markets. This case study [...]

Bill Miller is on the front page again, but this time it is good news. The famed manager was featured in a recent cover story by Barron’s titled “It’s Miller Time.

This research paper provides step-by-step recommendations to assist with implementing quantitative methodologies within a fixed income due diligence framework. Using Oppenheimer Core Bond Fund as a case study, we demonstrate how investment professionals equipped with the proper tools and methodologies could have been alerted to the fund’s risks long before its collapse. Specifically, we illustrate [...]