Tag Archives: DSA

Measuring the Ivy 2017: Dartmouth vs. Harvard, Similar Exposures Yield Significantly Different Results

With the first two Ivy League endowments turning in their fiscal year 2017 returns, we’re providing a snapshot to compare how Harvard and Dartmouth did relative to each other using our patented Dynamic Style Analysis (DSA) model. DSA is an enhanced (returns-based) quantitative analysis model that provides a more transparent view of opaque or complex […]

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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 […]

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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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