Tag Archives: alpha

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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Making the Mark: How Global Equity Hedge Funds Have Beat the Market

Whether rightly or wrongly[1], hedge funds are often compared to market beta as an indicator of their worth, and their (expensive) fee structure. With 2015 figures now in, the average hedge fund, as measured by HFRI Composite, has trailed the S&P 500 for seven straight years in the wake of the Global Financial Crisis. Source: […]

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Can Annual Returns Be Used to Unlock the Sources of Top Endowment Performance?

A Sneak Peek of MPI’s Endowment Study. Fall has brought with it excitement and some surprise in a much-watched annual contest. No, we’re not talking about the World Series but rather endowment-reporting season. Fiscal year (FY) 2015 returns[1] are now in from many of the top college endowments. Bowdoin, with almost $1.4B AUM, has taken […]

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Chart of the Week: QE3’s Big Winners – Positioned for the Printing Press

While attention has focused on bond fund managers who benefited from the Fed’s much anticipated announcement of the next phase of Quantitative Easing (QE3) on Thursday September 13th, what happened with equity fund managers? Hindsight may be 20/20, but it is no secret that equity markets have responded ebulliently to past announcements; after all, money […]

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Alpha and Excess Return: Not Synonymous

Can a fund whose alpha is positive significantly underperform the market? Yes, it can. This is a common question we receive during our clients’ Quarterly reporting, so we felt it worth addressing this phenomena – and taking a quick look at funds that gain this distinction. There is a common misperception that alpha means outperformance […]

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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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A Hedge Fund Index – the Best Investment Ever?

The November 21 WSJ article “Hedge Funds Kiss Their Alpha Goodbye“ and a follow-up article look critically at the performance characteristics of hedge funds by presenting facts that, in authors own words, “aren’t exactly great PR for the hedge fund industry.” The article and its controversial conclusions got a lot of attention so we were […]

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