Press

Markov Processes International president Jeff Schwartz weighs in on the changes and challenges institutional investors face during the Coronavirus pandemic in: “Is the importance of Quantitative Analysis Growing in Wake of Coronavirus?”  for the Canadian Investment Review.

RIABiz article  “Wealthfront CEO Andy Rachleff oversaw the insertion of leverage, hence risk into portfolios, which has been unrewarding in this market“ covers MPI’s risk parity research and  interviews Megan Woods, MPI’s research director.

“Estimates of daily changes in leverage at risk parity mutual funds, one group of volatility-targeting investors pinpointed as contributors to deleveraging last month, suggest some funds cut leverage sharply but others didn’t“, writes Faye Kilburn about MPI’s research in her Risk.net article. 

“…how was it possible for so many endowments to make bad choices among private equity and venture capital funds? The following chart from Markov suggests that it is down to outlandishly wide variations in performance within the private equity/venture capital world,” writes John Authers about MPI’s research in his opinion piece on Bloomberg.

“Last year was a great one for private equity and venture capital, but Ivy League endowments, with their huge allocations to alternative investments, didn’t all benefit, according to MPI.,” writes Julie Segal about MPI’s research in her article in Institutional Investor. 

Ian McGugan, investing columnist at Canada’s premier daily Globe & Mail wrote a column reviewing the decade and discussing why beta was so hard to beat has a prominent mention of the Ivy endowments’ failure to beat a 60/40 portfolio and MPI’s research.

“The quantitative analysis firm has a method for back-solving portfolios using returns rather than squishy self-reported allocations, and produced a study for Institutional Investor,” writes Leanna Orr about MPI in her article “David Swensen Is Great for Yale. Is He Horrible for Investing?”

“Markov Processes also examined the relationship between volatility and performance of all 700 funds over both periods. It found that conservatively constructed funds that exhibited lower volatility (beta) than the market were more consistently top-ranked in the first period, which included the financial crisis. But higher beta (more volatile) funds tended to be more prominent among the better performers in the later 10-year period when the crisis had faded. Markov found a “near linear relationship” between funds’ risk-adjusted returns rankings and performance since the crisis.” Read the full article here (subscription required).

William Frank, director of client Research at MPI, joins Money Life with Chuck Jaffe to discuss the recent shakeup in U.S. mutual fund ratings as highlighted in our research series on ratings. His segment begins at 00:29:14.

“Low beta funds have seen their Morningstar ratings drop significantly since the tail end of the 2008 financial crisis fell out of the 10-year lookback window used to rate performance. According to research by Markov Processes International, nearly 15% of US equity funds saw their 10-year Morningstar ratings change by at least two stars in the 12 months to the end of April – a 500% increase over the prior year.” Read the full article here. (subscription required)