Unfortunately, since David Swensen died, Yale no longer provide detailed reports on asset allocation and returns. But we can get a snapshot here. Interestingly, Harvard put all their private equity exposure to conventional PE, while Michigan swing to all venture, with Yale allocating equally to both. I don't know how this study gets such a low correlation between hedge funds and public equity. I estimate a correlation of 0.84 between the fund weighted HFRI and the MSCI index using monthly data over the last 30 years!
Compared to these endowments, our portfolio has about double the public equity and credit exposure, half the private equity exposure, and significant exposures to commodities including gold and futures. The latter have very low correlations to equities.
No comments:
Post a Comment