Tag Archives: factor analysis

Standard Life GARS Fund: MPI’s Factor X-ray

The £27bn Standard Life Global Absolute Return Fund (SLI GARS) has been renowned as a leading absolute return UCITS/mutual fund since its inception in 2008. However, recently its performance reversed from the peak reached in April of 2015. Using SLI GARS’ weekly performance data, we demonstrate how sophisticated factor analysis techniques can provide valuable insights […]

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Beyond Correlation: Using Active Style™ to Understand and Display Fund Performance

To say that the post-Financial Crisis, Fed-fueled investing climate is one of markedly high correlations has become platitudinous. Managers of U.S. equity mutual funds know this all too well; the ability of the S&P 500 to explain their returns has risen to very high historical levels, with the average large blend fund exhibiting an R2 […]

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Red Flags in the East: Learning from AIJ

The difficulty Japanese pensions face is hard to overstate. As the world’s most rapidly aging economy continues to confront low economic growth and a paltry interest rate environment, the institutional community’s search for yield is inevitable and necessary. Unfortunately, the discovery of alleged fraud at investment firm AIJ Investment Advisors Co. – where  109.2 billion […]

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An Eye on the Residuals: MPI Presents to CFA Societies on Dynamic Factor Analysis

In conjunction with the CFA Societies of the UK, France and Germany, MPI recently presented at sold-out events in London, Paris and Frankfurt in an effort to address best practice quantitative methodologies for dynamic factor analysis and their applications for the wealth and investment management industry. The presentation, entitled “Hidden sources of alpha: from market […]

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