MPI Research Corner

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 [...]

This academic paper, co-authored by Michael Markov and Daniel Li of MPI and Russ Wermers, Associate Professor of Finance at University of Maryland, introduces a new method for investors to forecast daily returns in advance of month-end reporting. The approach enables investors to infer daily results from monthly returns data. Synthetic replication portfolios are created [...]

A case study in hedge fund replication and risk management: our analysis of the Renaissance Institutional Equities Fund shows that thousands of trades, based on fundamental signals generated by computer models, can average to a simple combination of factors that mimic the performance of this large and well-known hedge fund. Click here to download the [...]

In this report, MPI analyzes whether hedge funds are becoming more sensitive to market moves by taking significant net long positions. Click here to download the PDF

A review of traditional applications of Returns-Based Style Analysis (RBSA) and the details of a new proprietary Dynamic Style Analysis (DSA) methodology developed by MPI to provide hedge fund and hedge fund of fund managers with an unprecedented view into the workings of individual funds for due diligence, performance analysis and risk management. Click here [...]