Latest Research
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Haunted by the ghosts of 2009, Harvard endowment’s lower risk appetite still pays off with a 33.6% return.
Bowdoin College Endowment has been outperforming all Ivies on a 10-year basis since 2015 with its latest FY2021 result bringing it to 14.4%, an almost impossible number to beat.
UPenn’s $20.5 Billion endowment posted a return of 41.1% for FY 2021, driven by strong returns in private equity and venture capital.
We argue that Sharpe Ratios could be hugely deceiving for derivative strategies – especially if they are in an outlier category as it was the case for the Allianz Structured Alpha funds.
We use Allianz Structured Alpha hedge fund as an illustration to demonstrate how investors could apply quantitative techniques to assess potential risks of complex volatility strategies.
Using Norwegian pension as an example we provide a quick and easy path for US pensions to become more transparent and regain trust of their beneficiaries as well as general public
Lessons (not) learned: our analysis shows Ivies are at pre-GFC levels of risk
It’s been a wild rollercoaster ride these days for Bitcoin investors. The cryptocurrency hit an all-time high of $64k in April only to plummet nearly 50% a month later. Last year, as the entire world shut down access to mountain peaks and surfing spots, people started to look for stay-at-home ways to supply their adrenaline fix – and speculative trading fit the bill.
Following up on our most recent article, “Infinity Q: Too Much Alpha,” Infinity Q also managed a hedge fund product, Infinity Q Volatility Alpha, which exclusively employed volatility strategies. Using known sub-strategies as regression factors for a multi-strategy product can prove very useful in identifying the source of both skill and risk in a more complex product.
The suspension of redemptions and planned liquidation of the Infinity Q Diversified Alpha fund (IQDNX, IQDAX) – a $1.8 billion hedge fund-like multi-strategy liquid alternatives mutual fund that was started by investment staff from the family office of a private equity titan – has sent shockwaves through the fund management industry. Using MPI’s quantitative surveillance framework we discover a slew of red flags that could have alerted the fund’s investors.