Press

“The Duke Endowment’s 2018 returns also beat the 8.4 percent gains that a typical 60-40 portfolio of S&P 500 stocks and aggregate bond index investment grade bonds would have returned in fiscal year 2018, according to Markov Processes International. The endowment’s growth also surpassed the S&P 500’s 10.8 percent growth over the same period.” Read the full article here.

“This year’s gains were driven by alternative investment strategies. Ivy League asset managers have been ramping up allocations to alternative asset classes in recent years in hopes of outperforming broad market indexes. “What we definitely see is that the funds that were highly exposed to private equity and venture capital did very well,” said Jeff Schwartz, president at MPI.” Read the full article here.

“According to investment research analysts Markov Processes International, the strong performance has been driven in large part by investments in private equity and venture capital, which have returned 18.7% and 18.3%, respectively, in fiscal 2018, compared to a 14.4% return for the S&P 500…. Markov estimated that private equity and venture capital contributed 8.3% and 3.3% of Yale’s 12.3% return for 2018, with other asset classes contributing only 0.8% of its annual return. The firm also estimated that private equity and venture capital contributed 5.2% and 3.2%, respectively, of Dartmouth’s 12.2% return; and 3.6% and 3.3%, respectively, of Harvard’s 10% return.” Read the full article here.

“Harvard’s returns topped the 8.4 percent gain that a typical 60-40 portfolio of Standard & Poor’s 500-stock and aggregate bond index equities would have delivered over the same period, said Jeff Schwartz, president of Markov Processes International, a quantitative research and technology firm. But the endowment at the Massachusetts Institute of Technology, for example, posted a 13.5 percent gain, bringing it to $16.4 billion; Notre Dame’s increased 12.2 percent, to $13.1 billion; and the University of Pennsylvania’s rose 12.9 percent, to $13.8 billion.” Read the full article here. (subscription required)

“Despite having the second-smallest endowment in the Ivy League next to Brown University, Dartmouth has had among the top-performing investment portfolios of any of the elite universities in recent years. According to investment research firm Markov Processes International, Dartmouth has been among the top-four performing Ivy League endowments five out of the previous six years.” Read full article here.

“This year, it’s been like watching popcorn. One after another things popped,” Bridgewater co-CIO Bob Prince tells Risk.net’s Rob Mannix in this article, which cites MPI research. “The difference though is we’ve not had a contagion effect. Each event is an isolated event. Then it goes away…. That’s because, though the central banks are withdrawing liquidity, the financial system is in a very different situation from what’s typical at this stage of the cycle. Typically at this stage of the cycle the financial system is overleveraged because it’s been financing the economic expansion.” Read the full article here. (subscription required)

“In general, one might expect that the size of CalPERS’ portfolio will make it harder to generate excess returns in almost any asset class as they are actually moving markets,” MPI President Jeff Schwartz tells CIO’s Randy Diamond in his article about the system’s active investment risk-taking review. “As such, they really need to pick their battles when it comes to identifying areas to pursue excess returns, especially on a risk-adjusted basis, given that less-efficient market segments tend to hold more risks.” Read full article here.

“Rather than seek alpha from an outstanding hedge fund or private equity manager, target-date investors would be better off embracing diversification by adding more asset classes,” explains Jeff Schwartz, president at MPI. “Those benefits could probably be accessed at lower cost from the liquid alternative universe, or in ETFs that replicate hedge fund strategies.” Read the full article here.

“Unconstrained funds are a recent addition to the fixed-income category lineup,” writes Daren Fonda, of Barron’s, in his article looking at the state of bond investing in 2018. “These funds have few restraints—some even own common or preferred stocks—and may actively bet against rates by selling Treasury futures or using other derivatives. Many unconstrained funds teed up for rising rates in 2010—way too early—and posted weak returns until 2015. But low duration and exposure to floating-rate is helping many funds stay ahead of the U.S. market average, according to data from Markov Processes International.” Read the full article here. (subscription required)

“Between 2010 and 2015, many investors could have dismissed non-traditional bond funds as a high-priced gimmick, delivering no benefit over traditional core bond funds. As the economy recovered and interest rates rose, however, these funds look to have been well positioned to benefit, helping them to outperform since 2015,” says MPI’s Sean Ryan in this article looking at the performance of the unconstrained bond funds by Institutional Investor‘s Julie Segal.