Thursday, December 04, 2008

Endowment Asset Allocations II

Following up on my recent post about endowment asset allocations I've updated Moom's and Moominmama's numbers for November and also added the allocation of the Public Sector Superannuation Scheme (Accumulation Plan) which is Snork Maiden's retirement account:

The PSS(AP) allocation is the "trustee choice" or default option. We are investing 90% in this and 10% in the "Sustainable Option" which is Australian shares with a green bias. That increases the equity percentage of her portfolio and brings it closer to our developing target allocation.*

The top panel in the table is the allocation of each of the portfolios to the different asset classes while the bottom panel is the Euclidean distance between the portfolios on the left and the those listed on the top line. Moom is closest to the PSS(AP) portfolio, which is not so surprising as they are both Australian based allocations. Moom is also nearer the average US endowment than to Moominmama. This diversification is probably a good thing. While Moominmama is nearest to the average US endowment she is also quite close to the PSS(AP) portfolio.

Moom's allocation moved further from the US endowments and from Moominmama's portfolio this month, mainly due to selling US equities.

* Snork Maiden's retirement portfolio is 17% from our target portfolio and 23% from our current overall portfolio.


The New York Times reports on the losses of the Harvard endowment. Their losses in July-October pretty much match the S&P 500's losses (23%) but are better than the MSCI World Index (33% loss). And they are far far better than Moom's performance (47% loss in USD terms).

P.P.S. 8th December

I just found more accurate information on the PSS(AP) superannuation fund's current allocation (rather than the targets in the prospectus):

Hedge funds 15%, Domestic Equity (US) 9%, Fixed Income 10%, Foreign Equity 33%, Private Equity 7%, Real Assets 15%, and Cash 11%.

Given this Moom's distance from this portfolio is 26% and Moominmama's 28%. So we are both closer to this portfolio than to any of the US endowments.

P.P.P.S. 10th December

Harvard's actual allocation to foreign equity is 22% not 2%!

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