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Notices
R
Richard (not verified)
6th June 2020 | 5:40pm

Agree, Clayton, that 60/40 isn’t right. When US stocks and bonds plus non-US stocks are made available to returns-based style analysis the effective equity exposure of the endowment composite is actually 72%. The standard deviation of composite and that of benchmark are identical, indicating no volatility dampening. Alt-heavy endowment composite underperforms 72/28 (w/ global equity) by 1.6% per year.