Tag Archives: DSA

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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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 […]

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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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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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Examining the Core: Intermediate-Term Bond Funds in August

The month of August was almost universally tough for financial markets. Equity, Commodity and Fixed income markets fell, dragging most managers with them. Intermediate-Term Bond Funds, one of Morningstar’s largest categories, were not immune to this turmoil, with 221 of 235 funds posting losses. The median loss for the category was -0.25%, with the Barclays US. Aggregate Bond […]

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Remembrance of Things Past: Carmignac Patrimoine’s Resurgence

Carmignac Gestion’s flagship fund, Carmignac Patrimoine, which grew in size and stature amongst the European investment management community due to sage risk management during the Financial Crisis and stellar long-term performance, faced a difficult 2013 and early 2014. Performing near the bottom of its peers in this window of time, investors questioned whether Patrimoine and […]

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Challenges in Analyzing PIMCO Total Return and Other Liquid Alternatives

Is a given hedge fund manager generating alpha?  Can that alpha be captured through more liquid alternative vehicles?  How can an investor truly reveal a portfolio’s net factor exposures when traditional assets are often being intermingled with credit default swaps, options, futures and leverage?  These questions continue to stymie investors – even though answers may […]

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Chart of the Week: FB – Change in Estimated Mutual Fund Exposure Since IPO

As we say “goodbye” to 2012, we turn back to the year’s biggest IPO and history’s largest tech IPO, Facebook (NASDAQ: FB). The intention of the original post on FB was to see what quantitative analysis of a galaxy of mutual funds using daily data over a very short time period can actually show a […]

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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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