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SUMMIT, N.J., April 21, 2021 /PRNewswire/ — Markov Processes International (MPI) has released a research paper on the Infinity Q Diversified Alpha Fund (IQDNX, IQDAX), examining the performance anomalies that caused the fund to suspend redemptions. The paper, “Infinity Q: Too Much Alpha,” highlights how a quantitative, factor-based analysis can identify hidden risks and provide advance warnings in evaluating liquid alternatives and hedge funds.
Infinity Q Diversified Alpha was a ’40 Act liquid alternative mutual fund with $1.8 billion in AUM, as of January 31, 2021. Over the last six years, the fund had large and consistently unexplained alpha and, in February 2021, it emerged that the fund was potentially making unreasonable adjustments to their third-party pricing models. Redemptions were suspended as the SEC began in inquiry into the fund.
MPI’s analysis employs its patented Dynamic Style Analysis (DSA) model to identify a combination of factors that explains the return behavior of the fund quite well, while also identifying large, unexplained and overly consistent alpha that would be questionable for any investment analyst. Further, MPI’s analysis demonstrates how quantitative screening of alternatives provides a quick, cost-effective and scalable process with far fewer hurdles that attempting to model each individual derivative in a given product.
“Using a quantitative surveillance framework, investors could have seen that Infinity Q Diversified Alpha was a true outlier, setting off more flags than any other peer fund of its size,” said Michael Markov, CEO and co-founder of Markov Processes International. “We have been encouraged by the use of our tool by regulators and our research demonstrates how MPI’s Stylus Pro software with patented Dynamic Style Analysis can bring transparency to complex investment products and investor protection.”
About Markov Processes International
Markov Processes International (MPI) is a leading independent provider of quantitative investment research, technology and analytics for the global investment management industry. MPI’s flagship Stylus solutions are used by hundreds of firms to make smarter investment research, portfolio construction and optimization, performance analysis, risk surveillance, distribution and reporting decisions. For more than 25 years, MPI has been a trusted, transparent and objective investment technology and insights partner to the world’s leading pensions, endowments, sovereign wealth funds, wealth management firms, hedge fund managers, fund of hedge fund managers, institutional consultants, investment advisors, asset managers and securities regulators.
President, Markov Processes International
SOURCE Markov Processes International