Corporate News

In October of 2024, Michigan State University’s (MSU) $4.4 billion endowment stunned the investment world by announcing a 15.1% return for the fiscal year ending June 2024, outperforming every Ivy League and other elite endowments tracked by the MPI Transparency Lab. By comparison, the top-performing Ivies, Columbia and Brown, reported returns of 11.5% and 11.3%, respectively, for the 2024 fiscal year, while the 70/30 Global Benchmark returned 14.2%.

In its published research, MPI research team uses MPI Stylus Pro analytics to uncover major sources of the MSU endowment’s exceptional performance and attributes the success of the top-performing team to its higher-than-average exposure to technology stocks and risk.

Summit, NJ/Tokyo (September 26, 2024) EIN Presswire― Markov Processes International (MPI), a leading provider of investment technology, analytics, research and indices for the global investment management industry, today announced the addition of tax-adjusted asset allocation simulations for financial advisors, wealth management firms and investment professionals working with taxable accounts. The functionality is within Stylus Pro, the firm’s flagship investment analytics software, trusted by some of the world’s largest investment firms and asset owners.

 

For investment professionals that work with taxable portfolios, MPI’s new tax-adjusted simulation capabilities will provide more realistic and appropriate forecasts of future outcomes, resulting in better asset allocation decisions for their clients. The tax-adjusted return and wealth simulations were designed to meet the needs of the most sophisticated wealth management firms, from home office users at the largest wirehouses to advisor teams of all sizes.

 

“Tax considerations are absolutely central to the investment management and planning functions at financial advisory firms working to optimize outcomes for their wealth management clients. Asset allocation professionals using Stylus Pro’s industry-leading portfolio construction capabilities can now incorporate realistic tax considerations into their future return and wealth simulations. This buildout was designed to further integrate our software solutions into the entire private wealth investment process and increase the seamlessness of our users’ workflows,” said Jeff Schwartz, President of MPI.

 

MPI also announced the addition of portfolio fee-adjustment capabilities so that wealth and investment management organizations can adhere to the new “Marketing Rule” directives. This enhancement will help MPI clients deliver compliant presentation of gross and net performance returns in published materials.

 

“As a longtime leader in institutional-grade portfolio and model construction, MPI’s Stylus Pro offers the most powerful combination of  forward-looking asset allocation, historic analysis of investment products and portfolios and hypothetical shocks and risk analysis capabilities. These updates enhance the value proposition of our flagship product for the wealth management market—pairing institutional asset allocation power with the ability to optimize taxable portfolios. We’re excited to introduce them to current and future clients,” said Michael Markov, Co-Founder, Chairman and CEO of MPI.

For more information, contact info@markovprocess.com.

• Exposure to stocks again seen driving public pension returns in FY2024.
• Georgia and Kentucky Teachers projected at top of league tables again.
• Public-private markets divergence continues—systems with higher equity exposure expected to fare better than those with elevated allocations to privates.

 

Summit, N.J., July 21, 2024 | EIN Presswire –– Markov Processes International (MPI), a leading provider of investment technology, research, analytics and indices for the global investment management industry, today announced the release of fiscal year 2024 return predictions for U.S. public pensions that manage over $20 billion. The performance estimates¹ for the period spanning July 2023 through June 2024 were produced by running historical return streams through MPI’s Dynamic Style Analysis (DSA)—a proprietary quantitative model available within MPI’s suite of Stylus software solutions—to estimate factor exposures for each pension.

The results were published in the MPI Transparency Lab, a public resource for returns data and investment analysis on leading institutional portfolios launched in 2023. MPI’s estimates of FY2024 pension returns are gross of most management fees and operating expenses. The estimates are projected based on FY2023 factor exposures and do not account for any potential portfolio adjustments nor asset class reallocations made during FY2024.

Estimated Top Performers in FY 2024 Have High Public Equity Allocations
The highest projected performer amongst the pensions in the study is $95bn² Georgia Teachers (TRSGA) with a predicted return of 16.3%, followed up by $23.9bn Kentucky Teachers (KTRS) with a modeled return of 16.1%. Both estimates topped the 12.5% FY2024 return of a global 60% stocks 40% bonds (60/40) portfolio, as well as the 15.5% return of a domestic 60/40. Such league table leadership would represent continuity with FY2023, when Georgia and Kentucky Teachers topped large public pensions tracked by MPI’s Transparency Lab, returning 11.9% and 10.6%, respectively.

With a nearly 70% allocation to public equities, Georgia reported the highest stock weighting in the study³, while Kentucky Teachers’ 60.4% allocation was third, just behind Nevada PERS, also a projected top five performer in FY2024 with a 14.6% expected return.

Asset Class Performance
U.S. stocks again led broad asset classes in FY2024, with mega-cap technology companies powering the S&P 500’s 24.6% return. U.S. bonds returned 2.6%, ending a string of down years. Private equity saw a 7.7% return⁴, representing a rebound from FY2023’s modest loss. Commodities or natural resources gained 5.0%, hedge funds returned 9.8% and real estate lost -4.3%, the worst-performing asset class included in MPI’s analysis.

Averages, Long-Term and FY 2024 Laggards
MPI predicts the average pension in the study will return 11.3% for FY2024. Washington PERS, the top-performing pension over the 10-yr period through FY2023 (9.7%, well above the 8.0% large public pension average and the global 60/40’s 6.1%), is projected to achieve a FY2024 return of 10.2% with similar reported allocations to public and private equity.

The three pensions with the lowest estimated returns for FY2024 all reported public equity allocations amongst the lowest five in the peer group. Looking longer-term, however, two of those systems achieved 10-yr returns through FY 2023 that matched or slightly exceeded the 8% average of the pensions peer group. Georgia had a 7.9% annualized return over the same period, while Kentucky returned 8.5%. With the highest reported allocation to PE at the end of FY 2023 (36%), Arizona SRS is projected to return 9.1% in FY2024, well below the average, but its 10-yr return through FY 2023 was an above-average 8.5%.

Michael Markov, Co-Founder and CEO of MPI, remarked, “As U.S. public pensions calculate their FY2024 returns, we wanted to provide estimates on the MPI Transparency Lab of how their portfolios behaved this fiscal year. Some interesting patterns reemerged to echo FY2023, including the drag on returns from private markets (PE and real estate) and the overwhelming power that exposure, or lack thereof, to mega-cap domestic stocks had on the largest public pension portfolios. We look forward to tracking FY2024 results and using our quantitative techniques to explore the potential sources of any significant disparities between projections and actual results, including the impacts of funding uncalled capital commitments, and to nurture the public dialogue on institutional investing.”

Visit the MPI Transparency Lab and sign up for MPI Research.

About Markov Processes International
Markov Processes International (MPI) is a leading independent provider of quantitative investment research, technology and analytics for the global investment management industry. MPI’s flagship Stylus solutions are used by hundreds of firms to make smarter investment research, portfolio construction, performance analysis, risk surveillance, distribution and reporting decisions. For more than 25 years, MPI has been a trusted, transparent and objective investment technology and insights partner to the world’s leading pensions, endowments, sovereign wealth funds, wealth management firms, hedge fund managers, fund of hedge funds, institutional consultants, investment advisors, asset managers and securities regulators.

Media Contact:
Paul Damon
paul@keramas.net

 

The projections come from MPI’s Transparency Lab, which provides unique insights into the styles, risks, and performance of traditionally opaque pensions and endowments.

SUMMIT, N.J. | NewsDirect | October 03, 2023 01:30 PM Eastern Daylight Time

Ivy League university endowments rebounded from their losses in FY2022, but their significant exposure to venture capital meant that every major endowment likely underperformed traditional 60/40 and 70/30 global equity/bond portfolios, according to projections from Markov Processes International, Inc. (“MPI”), a leading independent FinTech provider of software and services for analyzing investment performance and risk.

The projections come from MPI’s Transparency Lab, which tracks the performance of opaque pensions and endowments.

For fiscal year 2023, MPI projects that the Ivy League endowments tracked by the Transparency Lab had an average return of 7.13%, a reversal from the negative return of -2.39% for the group in fiscal year 2022. But that performance is expected to lag both traditional portfolios of global stocks and bonds: 9.36% for the 60-40, and 12.9% for the 70-30 over the same 12-month period ending June 2023. Endowments with the highest exposure to global equities (19.4% S&P 500 Index and 19.6% MSCI EAFE returns for the period) are expected to outperform, especially the ones that are known to make technology-focused investments – both in public equity and alternatives, as the S&P 500 Information Technology index returned 40% for the period. However, endowments with significant venture capital (VC) investments are expected to lag, with a -10% return for the period based on second-quarter preliminary results from Cambridge Associates. VC is the only major asset class with significant negative impact on FY2023 results.

MPI Transparency Lab estimates that the University of Pennsylvania, Dartmouth University, Brown University and Columbia University endowments will have higher-than-average returns. Meanwhile, Harvard University and Princeton University are projected to be at the lower end of the Ivies.

“Large university endowments are notoriously opaque, providing little indication of what results to expect until they officially release their results, making it a regular autumn spectacle,” said Michael Markov, MPI’s co-founder and CEO. “But even then, after the annual returns are published, there’s little indication of both sources of returns and the risks that were taken to achieve them. We apply our most advanced techniques to publicly sourced data to shed light on this important segment.”

MPI utilizes proprietary technology and public data sources to peek, quantitatively, behind the curtain of a wide range of investments, providing information that is often impossible to obtain otherwise. With the Transparency Lab, all that data and analysis is contained in one place and publicly available, allowing investors, beneficiaries, regulators, researchers, journalists, and other stakeholders to garner unique insight into some of the largest and most opaque investors.

With the MPI Transparency Lab, registered users can view analytics and download “MPI-360” reports that help them uncover trends in asset exposures, explain drivers of both recent and historical results, obtain estimates of risks, drawdowns and efficiency, perform historical stress tests, and evaluate various hypothetical scenarios.

MPI uses its proprietary Dynamic Style Analysis (DSA) and public annual returns to reverse-engineer asset exposure dynamics of large investor portfolios. When endowments report only annual performance figures, a decade’s worth of performance is represented by only 10 data points. Traditional static and rolling-window methods of regression analysis struggle to find credible insights from such infrequent data. MPI’s DSA, however, is uniquely adapted to work with such limited data.

For additional information on MPI’s proprietary data, visit the Transparency Lab. For further information, contact MPI at +1 (908) 608-1558 or info@markovprocesses.com.

SUMMIT, NJ | NewsDirect| July 25, 2023 01:51 PM Eastern Daylight Time

 Markov Processes International, Inc. (“MPI”), a leading independent FinTech provider of technology and services for analyzes of alternative investments, today released five-year performance data for the MPI BEST20 Tracker Index, an investible benchmark showing that it is possible to capture diversification and risk-mitigation benefits of some of the most sophisticated systematic trading strategies.

In 2018, MPI partnered with BarclayHedge to develop the MPI Barclay Elite Systematic Traders Index (BLOOMBERG: MPBEST20) to provide a more representative benchmark for an institutional portfolio of hedge funds focused on managed futures. The index comprises the 20 largest systematic traders reporting to the BarclayHedge database. At the same time, MPI also launched the MPI BEST20 Tracker Index (BLOOMBERG: MBEST20T) that aims to closely track the performance of the hedge fund benchmark using liquid, transparent exchange-traded funds.

“Five years ago, we came to realize that the proliferation and diversity of systematic trading strategies coupled with a wide range of their outcomes virtually begged for an investible benchmark to measure their performance,” said Michael Markov, founder and chief executive officer of MPI. “The result is industry-first benchmark that captures common trade signals of the group of 20 elite systematic traders delivering consistent performance with low volatility.”

Five-year performance data shows the index is truly representative of elite managed futures strategies, and the tracker provided attractive returns during major equity market drawdowns while delivering positive returns at other times.

“BarclayHedge’s indices, including the MPI Barclay Elite Systematic Traders Index, have long represented a veritable gold standard for measuring the performance of systematic traders,” reflected Ben Crawford, Vice President of Research at BarclayHedge. “Now, through our partnership with MPI, we are proud to have contributed another cutting-edge capability to the managed futures industry’s toolkit: The industry’s first investible managed futures benchmark, the MBEST20 Tracker Index. Today, whether you’re a CTA investor, a hedge fund manager, or the sponsor of an alternative ETF or UCITS product, the MBEST20 Tracker Index can provide you with an indispensable yardstick for what’s truly achievable with an allocation to systematic managed futures funds.”

It is well documented that incorporating managed futures in a portfolio can enhance returns, mitigate risks, and improve diversification. However, finding the right benchmark has been elusive for many investors. MPI’s index construction approach represents a logical evolution in the history of hedge fund performance tracking. First generation hedge fund indices sought to measure the performance of the entire industry, which introduced biases that skewed results. MPI’s Hedge Fund Index model seeks to correct for this shortcoming by targeting elite subsets of hedge funds to create a more stable, accurate gauge for measuring performance.

For additional information on the MPI BEST20 Tracker Index, please contact MPI at +1 (908) 608-1558 or info@markovprocesses.com.

 

About MPI

Markov Processes International Inc. (MPI) is a leading provider of solutions for investment research, analysis and reporting to the global wealth and investment management industry. MPI works with more than 200 client organizations, including pensions and endowments, sovereign wealth funds, global wealth management firms, institutional consultants, regulators, investment advisors and asset managers. Rooted in the principles of transparency, objectivity, and efficiency, MPI takes an innovative approach to problem solving in the areas of fund analysis, risk management, asset allocation, and reporting to ensure that its clients have the tools to succeed in ever-more-crowded markets. Follow us on Twitter @MarkovMPI and connect with us on LinkedIn.

 

About BarclayHedge

BarclayHedge, a division of Backstop Solutions Group, maintains data on more than 7,000 hedge funds, funds of funds and CTAs to assist institutional investors, brokerage firms and private banks worldwide save time and resources by providing data for research and due diligence, performance benchmarking, marketing and strategy replication. Connect with us on LinkedIn.

This new offering gives advisors who serve the 401(k) and defined contribution market flexible analytics and reporting that help differentiate their practices to win and retain plan sponsors.

One-of-a-kind offering provides unique insights into some of the largest and most opaque funds so all stakeholders can better understand their performance and potential risks.

MPI today released eight-year performance data for its MPI Eurekahedge 50 Tracker Index that indicate its basket of liquid, retail exchange-traded funds can deliver the performance of a diversified portfolio of institutional-quality hedge funds.

MPI Research team projected Ivies to have an average loss of -2.9%, with Yale potentially gaining 2.4%. Larger endowments ($1B or more) expected to lose 5.4%, while smaller endowments’ ($500M-$1B and $100M-$500M) losses will be higher at -7.2% and -7.4% respectively. These projections represent a valuable data point for CIOs looking for peer comparisons while valuing their portfolios. Read the entire report below:

The Summer of Their Discontent: FY2022 Endowment Performance Projections | Markov Processes International

MPI’s September 2021 analysis of the Structured Alpha fund has again been at the forefront of investment reporting this week after Allianz’s recent admission of fraud and the sale of its U.S. asset management business to Voya. Illuminated sources of risk and alpha for investors.