Latest Research

In 2019, we presented a return-based analysis framework that can be used to analyze complex fixed income funds such as PIMCO Income fund. In this updated blog, we apply a similar methodology to the fund as we did previously to evaluate the performance of the fund during the COVID market distress.

For the second straight year, Brown outperformed all other Ivy endowments by a large margin. Our research team, using MPI Stylus Pro to dissect the endowment annual returns, provides a plausible explanation of the endowment’s spectacular results.

We take a quick look at Ivy schools’ endowments’ performance results both for the 2020 fiscal year and also long-term for 10-year periods.

The quantitative research and approach demonstrated in this white paper, helps to provide a useful and pragmatic framework for investment practitioners to screen for liquidity risks when selecting new fixed-income products, as well as when conducting ongoing monitoring of their current bond funds.

How have risk parity funds actually acted (or reacted) during the current crisis? We use our Stylus Pro system to estimate changes in allocations and leverage levels.

We use our tools and proprietary dynamic factor model to analyze Renaissance RIEF to gain insight into the results in the first quarter of 2020.

We use our Stylus Pro system’s patented Dynamic Style Analysis (DSA) with daily fund data to determine whether U.S. equity mutual funds have substantially decreased market exposure in the highly volatile period from early-February to mid-March

Fiscal year 2019 was a curious year for the Ivy League endowments. In a year with strong returns in key private market investment classes, the average Ivy underperformed a traditional domestic balanced 60-40 portfolio in FY 2019. Ivies also experienced a wider dispersion of returns and saw a shift in the historical positioning of performance leaders and laggards.

Since its launch in 2007, PIMCO Income Fund has become one of the top-performing US bond funds. However, in 2019 the fund has underperformed both the benchmark and most of its peers. Using this fund as an example, we will demonstrate how advanced returns-based analysis can be used to analyze complex fixed income products without delving into volumes of complex holdings.

The grades for all the Ivy League endowments are in – and they are rather disappointing. Save for Brown, all Ivies underperformed the 9.9% return of a domestic 60-40 portfolio in fiscal year 2019. The Ivy average in FY 2019 was 6.7%, significantly underperforming the 60-40 and reversing two years in which they outperformed the traditional domestic benchmark.