Tag Archives: liquidity

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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Is there more liquidity danger in High Yield Bond Funds? Check with Durbin-Watson.

In the winter of 2015, an almost unheard of situation happened. A mutual fund, normally required to guarantee daily liquidity, blocked its clients from withdrawing money. The Third Ave Focused Credit Fund (TFCIX), citing losses and a lack of liquidity in the high yield bond market, put some of its assets into a trust to […]

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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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