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> The alternative assets are less risky, because they have less market exposure If you're including PE in there, you are way off base. According to the assump
by rmrfstar 6y ago
> The alternative assets are less risky, because they have less market exposure
If you're including PE in there, you are way off base. According to the assumptions in BlackRock's Aladin platform, global buyout has an equity beta of something like 1.6.
- smabie 6y agoI 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?
- rmrfstar 6y agoThat 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/capital-market-assumptions https://blackrock.com/institutions/en-us/insights/charts/cap... [2] https://www.aqr.com/Insights/Research/White-Papers/Demystifying-Illiquid-Assets-Expected-Returns-for-Private-Equity https://www.aqr.com/Insights/Research/White-Papers/Demystify...
- smabie 6y agoThanks, I thought you were talking about the global buyout fund. Will check it out. AQR and Blackrock do really great stuff