Tag Archives: quantitative analysis

Parsing the Dynamics of Global Tactical Asset Allocation (GTAA) Funds

Global Tactical Asset Allocation (GTAA) funds, which seek to take advantage of changing market conditions while maintaining a globally diversified portfolio, have suffered recent underperformance, possibly driving withdrawals from the strategy.  Considering the question of whether investors are bailing too soon, MPI was asked by Institutional Investor to look at some of the funds that […]

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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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PTTRX: When is a switch a switch?

With Bill Gross’ surprise departure from Pimco, many investors are looking more closely at the behavior of Pimco Total Return in relation to its peers. Investors and consultants reviewing the new team and near-term performance will be making decisions in the next weeks and months that could have considerable impacts for the future of fixed […]

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Tracking BFOR: Searching for Style in a Stockpicker’s ETF

At the request of Barron’s “Focus on Funds” and “ETF Focus” columnist Brendan Conway, MPI performed a quantitative analysis of BFOR, an exchange-traded fund (ETF) based on the Barron’s 400 Index. The index, which seeks to identify “America’s high performing companies” in an effort to beat the market by investing in “growth at a reasonable […]

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Risk Parity – What’s in a Name?

Risk Parity funds enjoyed notable fundraising success between 2008 and mid-2013. Investors found the funds’ concept of making money throughout market cycles, whether high or low growth, inflation or deflation, to be quite compelling following the Financial Crisis, only to be surprised midway through last year by an environment unfavorable to investors with exposures to […]

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Brilliance Bundled in Quantity: The Quest to Understand Liquid Alts

Liquid Alternatives are rapidly gaining a foothold in investors’ portfolios. A recent survey of Defined Contribution (DC) consultants by Pimco showed bullish predictions on the growth prospects for liquid alternatives and enthusiasm for the inclusion of these offerings in DC retirement plan lineups and products, including custom target date and target risk funds. 40 Act […]

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The Taper at the Beach: Pimco, the Fed and a Quantitative Approach to the World’s Largest Bond Fund

In the WSJ’s February 24th exposé of the turmoil at the helm of Pimco, we saw a curious bit about tension at “the Beach” increasing in the summer of 2013. During this period, according to the Journal, conflict between then co-CIOs Bill Gross and Mohamed E-Erian became apparent to staff, and Gross restricted trading at […]

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Chart of the Week: FB – Change in Estimated Mutual Fund Exposure Since IPO

As we say “goodbye” to 2012, we turn back to the year’s biggest IPO and history’s largest tech IPO, Facebook (NASDAQ: FB). The intention of the original post on FB was to see what quantitative analysis of a galaxy of mutual funds using daily data over a very short time period can actually show a […]

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Chart of the Week: Facebook

While Facebook’s IPO was a landmark event for so many reasons, we thought it would be interesting to see what quantitative analysis of a galaxy of mutual funds using daily data can show a savvy fund investor. With any large, much-heralded new offering, buyers of the security must emerge. In the case of Facebook, buyers […]

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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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