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2017 Ivy Endowment Performance Puzzle: Was Equity Allocation Strategy Irrelevant?

Ivy League endowments number three (Cornell) and four (Penn) released their 2017 returns Friday, producing an impressive 12.5 percent and 14.3 percent return, respectively. When compared with Dartmouth and Harvard endowment returns, which we analyzed last week as part of MPI’s annual Measuring the Ivy endowment performance series, an interesting trend emerges. Regardless of their […]

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Measuring the Ivy 2017: Dartmouth vs. Harvard, Similar Exposures Yield Significantly Different Results

With the first two Ivy League endowments turning in their fiscal year 2017 returns, we’re providing a snapshot to compare how Harvard and Dartmouth did relative to each other using our patented Dynamic Style Analysis (DSA) model. DSA is an enhanced (returns-based) quantitative analysis model that provides a more transparent view of opaque or complex […]

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Target-Date Fund Research Series, Part III: Assessing Allocation Changes in TDF Glide Paths, Strategic or Tactical?

When an investor is considering a target date fund, the sales pitch is that they can “set it and forget it”, that their asset allocation will proceed merrily along a painstakingly selected glide path until it reaches the desired retirement (or post-retirement) date. Fund managers however, cannot maintain the same capital market assumptions and associated […]

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Target-Date Fund Research Series, Part II: Differences in TDF Holdings vs. Exposures

As we previously discussed in Part I, returns-based style analysis, in particular MPI’s DSA model, generally does an excellent job of estimating the current equity exposures of Target Date Funds.  In some cases, however, DSA estimates are significantly different from consolidated holdings information – for six fund families out of the current TDF universe, in […]

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Target Date Fund Research Series, Part I: Advantages of a Quant Approach to Glide Path Analysis

As target date funds (”TDFs”) become increasingly entrenched in investors’ retirement portfolios, plan sponsors and advisors do not miss the irony that these products, meant to simplify the investors’ decision process to the point of simply choosing the fund with the closest date to their intended retirement, can add a world of complexity to their […]

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Forecasting Bridgewater All Weather Performance in November’s Bond Storm

November’s government bond sell-off resulted in one of the sharpest increases in Treasury yields in recent history and an uptick in fixed income volatility. While this may be particularly bad news for traditional fixed income funds, risk parity funds should, in theory anyway and to the extent that other asset classes have held their ground, […]

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Does Risk Parity Maximize Risk-adjusted Returns?

While it is well known that risk parity strategies typically allocate more weight or apply leverage to asset classes with lower risk, it is not well understood how higher volatility affects the Sharpe ratios exhibited by the assets that get over- or under- weighted.  We find that in practice the strategy increases an asset’s weight […]

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Have Endowments Adopted The Yale Model?

Using MPI’s Common Style to Understand the Endowment Landscape   Dispersion of 2016FY Results With limited data and only general information about their actual allocations, it can be difficult to identify the causes of the wide dispersion in the returns of endowments in 2016. Note the large spread between the highest and lowest performing endowments […]

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Standard Life GARS Fund: MPI’s Factor X-ray

The £27bn Standard Life Global Absolute Return Fund (SLI GARS) has been renowned as a leading absolute return UCITS/mutual fund since its inception in 2008. However, recently its performance reversed from the peak reached in April of 2015. Using SLI GARS’ weekly performance data, we demonstrate how sophisticated factor analysis techniques can provide valuable insights […]

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Ivy League Endowments 2016 Performance Review

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 […]

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