University Endowment Sued for Under performing the S&P 500

Re:University Endowment Sued for Under performing the S&P 500 by smabie on Thursday August 20, 2020 @02:28AM (#24220466)

I mean, that's just one, old, moderate sized fund. I couldn't tell what PE's total beta exposure is, but I would unsurprised if the variance between different funds is very, very, large.

Moreover, beta doesn't capture the whole picture. By any chance do you know what the funds correlation to the broader equity market is?

[ Parent | on HN ]

Re:University Endowment Sued for Under performing the S&P 500 by rmrfstar on Thursday August 20, 2020 @02:41AM (#24220528)

That is their assumption for global buyout as an asset class. You can grab their allocation assumptions at [1]. There is a "Download data" button on the page with the assumptions for a variety of base currencies.

You can also back out a ballpark beta from the MM theorems and what we know about company leverage post LBO. See [2] foot note 6.

[1] https://blackrock.com/institutions/en-us/insights/charts/cap...

[2] https://www.aqr.com/Insights/Research/White-Papers/Demystify...

[ Parent | on HN ]

Re:University Endowment Sued for Under performing the S&P 500 by smabie on Thursday August 20, 2020 @03:03AM (#24220653)

Thanks, I thought you were talking about the global buyout fund. Will check it out. AQR and Blackrock do really great stuff

[ Parent | on HN ]