A number of real money funds report their fiscal year ending June 30th. (A day does not go by where I do not get a confused reader emailing in asking why the tables in my book look funny because they miss the June fiscal year end on some tables.)
Below are some asset classes and their returns over the past year. We found that an equally weighted 5-asset class portfolio did a pretty good job of approximating the average endowment/institutional fund performance (while the Harvard and Yales of the world did about 3-4% better per annum). The recent paper from Mladina benchmarked the returns to some more granular indices with leverage – we’ll see if we can get an estimate for his model too. It looks like the funds should be coming in around mid-teens:
CalPers 11.4%
