Tag Archives: returns-based style analysis

Target-Date Fund Research Series, Part II: Differences in TDF Holdings vs. Exposures

As we previously discussed in Part I, returns-based style analysis, in particular MPI’s DSA model, generally does an excellent job of estimating the current equity exposures of Target Date Funds.  In some cases, however, DSA estimates are significantly different from consolidated holdings information – for six fund families out of the current TDF universe, in […]

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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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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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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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Chart of the Week: Sector Underperformance Can Hit Even Top Stock Pickers

Investors with Vontobel Asset Management’s Rajiv Jain, Morningstar’s 2012 International-Stock Fund Manager of the Year, have a lot to be happy about. His 40 Act funds under the Virtus label performed very well in 2012 – to say nothing of their longer-term performance – and his Virtus Foreign Opportunities Fund (JVIAX) outperformed the MSCI All […]

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Russell Stability Indexes™: Usage in Fund and Portfolio Analysis

What are they? In 2010, Russell launched the Russell Stability Indexes. We believe that the index series is very useful for investment practitioners and fund analysts looking to better understand exposures and risk factors – particularly those associated with sensitivity to economic cycles and price of stocks – exhibited by funds and portfolios. The Russell […]

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Beyond Correlation: Using Active Style™ to Understand and Display Fund Performance

To say that the post-Financial Crisis, Fed-fueled investing climate is one of markedly high correlations has become platitudinous. Managers of U.S. equity mutual funds know this all too well; the ability of the S&P 500 to explain their returns has risen to very high historical levels, with the average large blend fund exhibiting an R2 […]

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Alpha and Excess Return: Not Synonymous

Can a fund whose alpha is positive significantly underperform the market? Yes, it can. This is a common question we receive during our clients’ Quarterly reporting, so we felt it worth addressing this phenomena – and taking a quick look at funds that gain this distinction. There is a common misperception that alpha means outperformance […]

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