Tag Archives: factor exposures

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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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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World Bond Managers Ride FX Roller Coaster

In the world bond fund category[1], a dramatic change has happened: last year’s worst-performing funds are this year’s best-performing ones.  This is clear in the chart below, in which we see the performance rank of funds contrasted between 2015 and 2016. Funds below the line have decreased in rank, while funds above the line have […]

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Smart(er) Beta? Part 1 of a Series on Multifactor Smart Beta ETFs

Is it alpha or is it beta? Is it smart beta, or is it dumb? Can it be timed, or is that dumb? Is a crash looming? The questions fueling “smart beta” debates carry on, but that hasn’t stopped a number of providers from launching a “smarter” product – and from picking up assets as […]

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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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