Tag Archives: featured

Forecasting Bridgewater All Weather Performance in November’s Bond Storm

November’s government bond sell-off resulted in one of the sharpest increases in Treasury yields in recent history and an uptick in fixed income volatility. While this may be particularly bad news for traditional fixed income funds, risk parity funds should, in theory anyway and to the extent that other asset classes have held their ground, […]

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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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2016’s Emerging Market Surprise: Peru Breaks Out, Performs Strong at Nearly 40%

A slowdown in China and other global economic turmoil were thought to spell trouble for Latin America in 2016, but as of May, most Latin American stock indices are actually outperforming the S&P, with Peru coming in at close to 40%. Peruvian stock indices have typically followed the returns of the DJ-UBS US Copper Index; […]

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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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Examining Recent Winners and Losers in the Nontraditional Bond Fund Category

The recent investment climate has been a challenging one for nontraditional bond funds, strategies that generally trade rate risk for credit risk. Confounding the chorus calling for the end of the 35-year bond bull market, U.S. Treasurys have rallied, credit spreads have widened and emerging market debt has faced heavy selling pressure. Due to market […]

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Down Commodities Benefits CTA Funds

The past year has been a painful one for some macro hedge funds that focus on commodities. Recent news of the departure of the co-founders from Carlyle’s suffering commodities hedge fund manager Vermillion Asset Management, and commodities fund closures by Black River Asset Management and Armajaro Asset Management paint a grim picture of the ability […]

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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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A Peril of Hedge Fund Allocation: Investing Too Little

Following the news of CalPERS’ termination of its ARS program and at the request of Risk Magazine, we looked at the relationship between scale, selection and impact on total portfolio returns that hedge fund allocations can possibly have at large pensions. To perform this study, we base our hypothetical pension portfolio off of CalPERS’ portfolio. […]

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