Press

Based on analysis from MPI’s Megan Woods, Institutional Investor’s Julie Segal reviews the performance of prominent Global Tactical Asset Allocation (GTAA) funds. With recent underperformance driving outflows to the once fast-growing group of strategies, the MPI study seeks to help fund selectors better evaluate GTAA products, a group of disparate, complex and often opaque funds that can potentially add valuable diversification to portfolios. For the full GTAA analysis, see our research “Parsing the Dynamics of Global Tactical Asset Allocation (GTAA) Funds“.

Supported by quantitative analysis and commentary from MPI Director of Research Apollon Fragkiskos, Risk.net takes a comprehensive look at risk parity funds’ behavior, finding that Q4 2016 returns suggest the strategy did not engage in a sell-off or act systematically to push market volatility up and asset prices down as some critics assumed.

Asset managers are racing to launch factor-based and smart beta funds, in part to satisfy investor demand for lower-fee, passive strategies. But a new study from investment research firm Markov Processes International, produced exclusively for Institutional Investor, finds that some of these products vary widely in their performance.

Risk parity implementation starts from the observation that while a traditional 60/40 stock/bond portfolio appears well diversified, equities are a lot more volatile than fixed income securities. Follow the article on The HedgeFund Journal to learn more.

As bond prices fell this month, a big question on the minds of many hedge fund managers was how risk-parity funds were holding up. Because those vehicles apply hefty amounts of leverage to their bond portfolios, they are seen as especially vulnerable to market sell-offs. And because risk-parity products typically take the form of mutual funds, with substantially lower fees than private funds, many hedge fund managers would like nothing more than to see them stumble when volatility increases — as it did following the Nov. 8 election. Read more from Hedge Fund Alert.

A new study of 14 endowments posted on Institutional Investor finds that the top three performers for fiscal year 2016 are those closest to the Yale Model. Here’s why.

Yale’s endowment ran away from its Ivy League peers during the 2016 fiscal year with a 3.4% total return, according to a report from Markov Process International. Princeton came in second place with an 0.8% return, the only other school with a positive return. Read more about the study on Pensions & Investments.

In an article posted by Investment & Pensions Europe, Apollon Fragkiskos reports that despite the increase in risk in many asset classes from a year ago, risk parity funds have weathered this summer’s volatile markets.

At Standard Life Investments the Global Absolute Return Strategies group of funds has swollen to £50 billion in size. Fears about it growing too large have surfaced frequently in 2016 as performance has dropped off dramatically. Read more on Financial News.

An analyst has outlined possible reasons why the performance of Standard Life Investments’ £27bn Global Absolute Return fund has deteriorated over the past 18 months, pointing to the “strategic bets” which could have dented returns. Learn more about the article published by FT Advisor.