This white paper looks at the period of the increased volatility in the financial markets leading up to and on November 8th and provides valuable insights into internal workings of risk parity strategies during periods of heightened volatility.
Using Standard Life Global Absolute Return Fund (SLI GARS) weekly performance data, we show how sophisticated factor analysis can provide valuable insights into this fund’s complex global “go anywhere” investment strategy.
As the trickle of announcements about institutional investors exiting hedge funds became a steady stream, MPI decided to explore whether performance really justified an apparent growing disillusionment. Whereas much analysis and commentary to date had focused on the recent failure of hedge funds to beat the S&P 500 and other equity benchmarks, in our research we wanted to find out whether hedge funds had failed on their own terms.
Using predictive analytics to reproduce the beta exposures of the largest hedge fund
A quantitative analysis of a Madoff hedge fund reveals a striking similarity with another well-known case of fraud
A case study in hedge fund replication and risk management
MPI performed an analysis of the hedge funds managed by Mangan & McColl Partners looking for tell-tale warning signs of the fund’s closure that investors might have been able to see with proper analysis techniques.