Assignment Question

[Shashank Saggar]

Have you guys been able to figure out the asset mix for TIFF?Exhibit 14 asset mix for TIFF only adds up to 36.5%.

I am trying to calculate the fund mean, variance, alpha and beta for TIFF and TDF but was not sure the best way to approach or if its even possible.

Shashank

[pn]

 The TIFF column is showing the exposure of the TDF's allocation to other TIFF name bearing investments...

( See the footnote)

You have to read this exhibit from left to right...The total TDF 52.6% is made up of 9.5% sep mgrs, 21.7% tiff, 11.8% orthogonal, 9.6% PI,

etc.,


Padma

[Shashank Saggar]

Thanks Padma - that helps. Did you run a regression of the TDF with the index to calculate beta and alpha for TDF? How can we do the same for TIFF?

[pn]

No....we just have data at a given snapshot in time right? 

Wasn't planning on doing it....but would like to know what others are thinking on this...

Padma

[Shashank Saggar]

Anyone has thoughts on how to calculate expected return, variance, beta and alpha for TIFF and TDA - i still can't figure out a way to calculate these (not sure if there is even a way).

[Dinesh Kantaria]

Hi,

I am not sure where to start.

Any help will greatly appreciated.

Dinesh

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Dinesh Kantaria
510-219-9172

[alex smirnov]

Hi Dinesh,

just make it sound like you read the case......that's all i'm going to do.......it seems that it gets more confusing with each case  ;)

Alex

[alex smirnov]

here's a fun reading you guys may be interested in

http://20somethingfinance.com/passive-index-investing/

I find this very revealing...

 % of U.S. equity funds that were outperformed by their comparable index over one, three, and five years.

[Pavani Ganeshula]

Here is an article on what endowment model is and why it did not perform in '08-'09? 

http://www.361capital.com/docs/WhytheEndowmentModelIsntDead.pdf

Hope it helps!

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Regards,
Pavani Ganeshula

[Vince]

Hey there,

I think the purpose of the paper is more qualitative rather than quantitative. Using #s to justify the reasoning is probably better but I just think it might be very difficult with the complexity of TIFF. Anyhow, I found the following 3 links that, at least in my mind, provides enough of a response for his questions.

http://www.riabiz.com/a/776012

http://www.riabiz.com/a/5599309

http://money.cnn.com/2010/07/06/news/economy/university_endowments.fortune/index.htm

The model in question, commonly called the Yale model, is predicated on the idea that an endowment, which supports a significant portion of costs for most universities, is a long-term fund and should therefore structure its portfolio to maximize future gains. It should take on risk with investments in alternative assets such as private equity and hedge funds, and hopefully earn a large premium from it. Even if markets take a dip, the thinking goes, endowments can hold onto illiquid assets and ride out the storm until asset valuations rise again.

The recent financial bloodbath exposed holes in this theory. When financial commitments came due in late 2008, many endowments, with their funds tied up in illiquid investments, were unable to get cash. They had underestimated the downside risk of the model and spent too much too quickly. The University of Pennsylvania, one of the best-performing endowments during the crisis, lost only 16.8% in fiscal 2009 -- about half of what Harvard and Yale did -- precisely because the fund followed a more value-driven approach to investing and had more than half of its assets in stocks and treasuries.

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From: Pavani Ganeshula <pavanig...@gmail.com>
To: fnc_455_s...@googlegroups.com
Sent: Wednesday, April 27, 2011 11:03 AM
Subject: Re: Assignment Question

[Erin Robinson]

Thanks. I went more qualitative as well on this one. I couldn't quite figure out what to do with all the exhibits.

[pad...@gmail.com]

Likewise..here

Sent via BlackBerry by AT&T

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From: Erin Robinson <robin...@gmail.com>

Sender: fnc_455_s...@googlegroups.com

Date: Wed, 27 Apr 2011 14:09:29 -0700

To: <fnc_455_s...@googlegroups.com>

ReplyTo: fnc_455_s...@googlegroups.com

Subject: Re: Assignment Question