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Crisis in the Rearview Mirror: Monitoring Mutual Funds in the Five Year Window

March marked the first month that the impact of extreme down markets of the Financial Crisis faded out of 5 year fund performance histories. With the darkest days of 2008 and Q1 2009 removed from 5 year track records and associated risk measures, significant shake-ups are being felt in many DC fund “scorecards”, investment policy […]

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Bridgewater Pure Alpha: How Much is Explained by Dynamic Beta?

Bridgewater Pure Alpha II Fund, the flagship fund of Bridgewater Associates – the world’s largest alternative investment management firm – has generated outstanding returns in the last twenty years with especially impressive performance since the Fall of 2008. Using MPI’s new Factor Search™ application, MPI’s endeavor is to capture dynamic betas embedded in Bridgewater fund’s […]

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Quantitative Due Diligence of Fixed Income Portfolios

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 […]

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Monitoring Daily Hedge Fund Performance When Only Monthly Data is Available

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 […]

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Madoff: A Tale of Two Funds

In 2006 MPI ran analysis on the Fairfield Sentry Fund, one of the primary feeder funds to Bernard Madoff’s strategy, and came to the conclusion that, most likely, the returns were fabricated. After an exhaustive returns-based quantitative analysis failed to explain the fund’s consistently positive returns, MPI then discovered that the highest correlating factor was […]

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