Main Subscribe to this section

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 […]

Read more

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 […]

Read more

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 […]

Read more

Parsing the Dynamics of Global Tactical Asset Allocation (GTAA) Funds

Global Tactical Asset Allocation (GTAA) funds, which seek to take advantage of changing market conditions while maintaining a globally diversified portfolio, have suffered recent underperformance, possibly driving withdrawals from the strategy.  Considering the question of whether investors are bailing too soon, MPI was asked by Institutional Investor to look at some of the funds that […]

Read more

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 […]

Read more

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 […]

Read more

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 […]

Read more

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 […]

Read more

Lower Volatility Smart Beta Funds – A Safe Haven in Turbulent Times? Part 2 of a Series on Multifactor Smart Beta ETFs

Smart Beta funds are hot. According to ETF.com, more than half of the 150 funds launched in 2016 implemented smart beta strategies.  For the year to June 30, 2016, ETFGI’s most recent data show that assets in smart beta funds have a five-year annual compound growth rate of 31.3 percent. And, low volatility funds, up […]

Read more

Is there more liquidity danger in High Yield Bond Funds? Check with Durbin-Watson.

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 […]

Read more