Tag Archives: hedge funds

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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Have Endowments Adopted The Yale Model?

Using MPI’s Common Style to Understand the Endowment Landscape   Dispersion of 2016FY Results With limited data and only general information about their actual allocations, it can be difficult to identify the causes of the wide dispersion in the returns of endowments in 2016. Note the large spread between the highest and lowest performing endowments […]

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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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Like That 40% Return? Better Understand Risks First.

A July 20th WSJ article featured Quantedge Capital, a quantitative global macro hedge fund manager that gained 40% after fees year-to-date through June. The fund’s 2016 performance is outstanding indeed, as compared with major asset classes in the chart below (here and below we use the fund’s performance data from Eurekahedge):  According to the investor […]

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Hexit: Is Now the Time to Pull Out of Hedge Funds?

As the trickle of announcements about institutional investors exiting hedge funds became a steady stream, MPI decided to explore whether performance really justified an apparent growing disillusionment. Whereas much analysis and commentary to date had focused on the recent failure of hedge funds to beat the S&P 500 and other equity benchmarks, in our research […]

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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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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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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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Chart of the Week: Update on Bridgewater All Weather

In recent weeks risk parity[1] funds have been the focus of particularly unfavorable reports on their performance.  Bridgewater’s All Weather Portfolio, the original and most famous risk parity fund, is often held up as an example. The risk parity approach has performed particularly well over the past decade, minimizing losses during both the tech bubble […]

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When Measuring the Value of Hedge Funds, Don’t Forget Risk

Following the financial media’s reporting on hedge funds over the past few years, one could be mistaken for thinking that frustrating industry-wide returns – along with some high profile winning bets, frauds and serial insider trading – have dominated the industry. And yet money, particularly of the institutional variety, continues to flow towards these expensive […]

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