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An alternative proposal to the Yale endowment model
Publicerad
9 år sedanden

ETF Securities Asset Allocation Research An alternative proposal to the Yale endowment model
Summary
Over the past 60 years, portfolio management has significantly gained in complexity and sophistication with active funds such as the Yale endowment fund not always outperforming a passive index tracking strategy.
Nowadays, it is possible to construct an equivalent strategy to the Yale model that is more transparent, more liquid, passively managed and cheaper to implement.
Adding precious metals to this alternative model improves return by 19% and enhances the Sharpe ratio by 46%.
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Early stage of portfolio construction
Since 1950, portfolio construction has been through 3 distinct phases1 and is in what looks like its fourth phase since the global financial crisis in 2008.
1 Increasing Institutional Portfolio Complexity and the Resulting Shift from a Product to a Solutions Mindset – Citi Business Advisory Services
The first phase ran from the early 1950’s to mid-1990. Rather than holding 100% in equities or bonds, investors searched for an optimal mix to diversify their portfolio risk. Based on the Modern Portfolio Theory, the generally accepted rule of thumb for optimal weights were 60% equities and 40% bonds.
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Over the past 10 years, the 60/40 model has provided a Sharpe ratio of 0.435, more than twice higher than the Sharpe ratio of a global equity index thanks to the lower volatility of the 60/40 benchmark of 9.7% compared to 16.9% for the MSCI World.
In 2000, the Yale University Investments Office promoted the idea that investors should diversify in asset classes other than equities and bonds. Alternative assets such as private equity or hedge funds have higher return potential and diversification power as they are less liquid, therefore less volatile and less subject to strong correction. The outperformance of the Yale fund made the model popular among institutional investors.
Active versus passive portfolio management
The Yale endowment fund was created to provide support to the operating budget of the university scholars. Actively managed, the fund has progressively increased its exposure to alternative assets from 15% in 1950 to more than 75% today. As of June 2014, the fund was holding 15.4% in equities, 8.4% in bonds and cash and 76.2% in alternative assets: private equity (33%), hedge funds (17.4%) and real assets (25.8%).
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Over the past 10 years to June 2015, the fund returned 10% per year compared to 7% for the 60/40 benchmark. It is worth noting that the fund did worse than the benchmark during the financial crisis in the year to June 2009. The fund target weights for 2016 are more or less the same as in 2014: 18.5% in equities, 8.5% in bonds and cash and 73% in alternative assets.
Low risk investors such as pension funds may however see the Yale model as too aggressive, refrained by the cost to replicate such an illiquid portfolio. Compared to endowment funds, pension funds have a larger investment pool and a shorter investment horizon to generate income for their clients.
Alternatives to the Yale endowment model
Because the Yale endowment fund is actively managed and invested in funds that are not listed on exchanges, the model is not replicable. Based on the same concept, we constructed an alternative portfolio with 20% equities, 5% bonds and 75% in alternative liquid assets. The 75% is equally allocated to private equity, hedge funds and real estate.
(Click to enlarge)
Since March 2005, the alternative portfolio returned 8% per year on average, 39% above the 60/40 benchmark over the same period. It is interesting to note that adding a basket of precious metals into the alternative portfolio increases the portfolio return by 19% to 9.5%. The addition of the precious metals basket also enhances the alternative portfolio risk/return profile as the Sharpe ratio of the portfolio increases to 0.524 from 0.359 without precious metals.
(Click to enlarge)
Low risk investors may find a core/satellite portfolio more appealing. We illustrate that a core/satellite strategy which holds 70% in core assets such as the 60/40 benchmark and 30% in alternative assets as a satellite provides an annual return of 7.4% comparable to the alternative portfolio which provides a return of 8%. The volatility of the core/satellite strategy is however much lower than the volatility of both alternative portfolios, enhancing the portfolio Sharpe ratio to 0.525. The 30% in the satellite are equally allocated to private equity, hedge funds, real estate and a basket of precious metals.
The new generation of portfolio models
The global financial crisis in 2008 drastically changed investor behaviour and portfolio management. Prior to the crisis, while investors were increasing their portfolio diversification toward alternative assets, they also concentrated their risk exposure toward equity risk essentially and saw their returns plummet as the financial market collapsed. The Yale endowment fund fell 24.6% in the year to June 2009 while the alternative portfolio fell 19.8% (with precious metals) and the 60/40 benchmark was down 12%. The real added-value of active diversification across asset classes is therefore questioned.
New types of portfolio management have emerged since and among them is the concept of diversification across risk factors, known as smart beta. Instead of using a classification by asset class, securities are classified by risk exposure. Two securities can then provide diversification despite being part of the same asset class as long as they are not exposed to the same risk.
Our proprietary contrarian model2 discussed in our previous note is a long only portfolio of commodities that takes a smart approach to traditional allocation strategies with commodities. The smart beta commodity portfolio has returned twice the annual return of the Yale fund over the past ten years to June 2015 while the alternative portfolio with precious metals has outperformed the fund by 11% over the same period.
2 How to make the best of commodities: the contrarian model – ETF Securities (02 February 2016)
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In this note, we have shown that it is possible to construct an alternative portfolio that outperforms the Yale endowment fund when adding a basket of precious metals. As opposed to the Yale endowment fund, the alternative portfolio with precious metals is passively managed, more liquid and more transparent. Adding precious metals to the alternative portfolio improves the portfolio return and enhances its Sharpe ratio. Over the past sixty years, portfolio management has significantly gained in complexity and sophistication. Managers need to find innovative and cost efficient solutions that truly diversify investors’ portfolio risk. Portfolio allocation shifts from being asset class based to risk factor based and from active to passive management. The real added-value of active funds over passive funds continues to be debated.
Portfolio performance
This table shows how the different portfolios studied in the current and previous asset allocation notes have recently performed. In each section, the assets or portfolios are benchmarked against the portfolio in bold.
(Click to enlarge)
Important Information
General
This communication has been issued and approved for the purpose of section 21 of the Financial Services and Markets Act 2000 by ETF Securities (UK) Limited (“ETFS UK”) which is authorised and regulated by the United Kingdom Financial Conduct Authority (the “FCA”).
The information contained in this communication is for your general information only and is neither an offer for sale nor a solicitation of an offer to buy securities. This communication should not be used as the basis for any investment decision. Historical performance is not an indication of future performance and any investments may go down in value.
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Disclaimer
The information provided does not constitute a prospectus or other offering material and does not contain or constitute an offer to sell or a solicitation of any offer to buy securities in any jurisdiction. Some of the information published herein may contain forward-looking statements. Readers are cautioned that any such forward-looking statements are not guarantees of future performance and involve risks and uncertainties and that actual results may differ materially from those in the forward-looking statements as a result of various factors. The information contained herein may not be considered as economic, legal, tax or other advice and users are cautioned to base investment decisions or other decisions solely on the content hereof.
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WELC ETF ger exponering mot företag inom sällanköpsvaror
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Amundi S&P Global Consumer Discretionary ESG UCITS ETF DR EUR (D) (WELC ETF) med ISIN IE00061J0RC6, strävar efter att spåra S&P Developed Ex-Korea LargeMidCap Sustainability Enhanced Consumer Discretionary index. Det S&P-utvecklade ex-Korea LargeMidCap Sustainability Enhanced Consumer Discretionary-indexet spårar stora och medelstora företag från den diskretionära konsumentsektorn. ESG-kriterier (miljö, social och bolagsstyrning) beaktas vid valet av värdepapper.
Den börshandlade fondens TER (total cost ratio) uppgår till 0,18% p.a.. Amundi S&P Global Consumer Discretionary ESG UCITS ETF DR EUR (D) är den billigaste ETF som följer S&P Developed Ex-Korea LargeMidCap Sustainability Enhanced Consumer Discretionary index. ETFen replikerar det underliggande indexets prestanda genom fullständig replikering (köper alla indexbeståndsdelar). Utdelningarna i ETFen delas ut till investerarna (Årligen).
Amundi S&P Global Consumer Discretionary ESG UCITS ETF DR EUR (D) är en mycket liten ETF med 5 miljoner euro förvaltade tillgångar. Denna ETF lanserades den 20 september 2022 och har sin hemvist i Irland.
Investeringsmål
AMUNDI S&P GLOBAL CONSUMER DISCRETIONARY ESG UCITS ETF DR – EUR (D) försöker replikera, så nära som möjligt, resultatet för S&P Developed Ex-Korea LargeMidCap Sustainability Enhanced Consumer Discretionary Index (Netto Total Return Index). Denna ETF har exponering mot stora och medelstora företag i utvecklade länder. Den innehåller uteslutningskriterier för tobak, kontroversiella vapen, civila och militära handeldvapen, termiskt kol, olja och gas (inkl. Arctic Oil & Gas), oljesand, skiffergas. Den är också utformad för att välja ut och omvikta företag för att tillsammans förbättra hållbarhet och ESG-profiler, uppfylla miljömål och minska koldioxidavtrycket.
Handla WELC ETF
Amundi S&P Global Consumer Discretionary ESG UCITS ETF DR EUR (D) (WELC ETF) är en europeisk börshandlad fond. Denna fond handlas på flera olika börser, till exempel Deutsche Boerse Xetra.
Det betyder att det går att handla andelar i denna ETF genom de flesta svenska banker och Internetmäklare, till exempel Nordnet, SAVR, DEGIRO och Avanza.
Börsnoteringar
Största innehav
Denna fond använder fysisk replikering för att spåra indexets prestanda.
Namn | Valuta | Vikt % | Sektor |
AMAZON.COM INC | USD | 18.89 % | Sällanköpsvaror |
TESLA INC | USD | 13.29 % | Sällanköpsvaror |
HOME DEPOT INC | USD | 5.75 % | Sällanköpsvaror |
LVMH MOET HENNESSY LOUIS VUI | EUR | 5.44 % | Sällanköpsvaror |
TOYOTA MOTOR CORP | JPY | 4.58 % | Sällanköpsvaror |
MCDONALD S CORP COM NPV | USD | 2.63 % | Sällanköpsvaror |
LOWE S COS INC COM US 0.50 | USD | 2.38 % | Sällanköpsvaror |
SONY GROUP CORP (JT) | JPY | 2.25 % | Sällanköpsvaror |
BOOKING HOLDINGS INC | USD | 2.02 % | Sällanköpsvaror |
TJX COMPANIES INC | USD | 1.89 % | Sällanköpsvaror |
Innehav kan komma att förändras

To understand Celestia’s value and its role in the ecosystem, it’s helpful to first understand how traditional blockchain systems are structured.
Most blockchains, like Ethereum or Bitcoin, are monolithic which means they perform all major functions (consensus, data availability, and execution) on a single layer. This design ensures security but according to new modular networks, limits scalability and flexibility.
The modular blockchain thesis, which Celestia is leading, proposes separation of layers and respective responsibilities in the network. Instead of having one network and its validators perform all of its functions, it may be better to have specialized layers:
• Consensus Layer: Ensures that all nodes agree on the order of transactions.
• Data Availability Layer: Ensures transaction data is accessible to all participants.
• Execution Layer: Processes the actual logic and computation of smart contracts.
By unbundling these components, developers can build more efficient, flexible systems that scale far beyond what monolithic blockchains can support. Not all applications need similar levels of security and not all applications need to scale up to millions of transactions. Additionally, one application might be scaling beyond the capabilities of its host network, severely effecting the available data throughput of other applications. This limits developers to the monolithic technology stack provided by a virtual machine such as Ethereum’ EVM.
The Issue of Data Availability
One of the most misunderstood yet crucial components of any blockchain is data availability. In simple terms, it ensures that the data behind each block is fully accessible and verifiable by all participants in the network. Another way to describe it is as the confidence a user can have that the data required to verify a block is really available to all network participants. Data availability is therefore important to all stakeholders of the blockchain ecosystem.
If a block producer withholds data, then nodes cannot verify the block, which leads to potential censorship or fraud.
Traditionally, a blockchain network can offer data availability with the following mechanisms:
• Full Replication: Every node stores the entire blockchain and verifies all data. Secure but not quite scalable.
• Sharding: Breaks the blockchain into smaller pieces (shards), spreading data across nodes. Scalable but highly complex to implement.
• Committee-Based Models: Small groups of nodes are trusted to verify data availability. Efficient, but less decentralized.
Celestia takes a completely different approach using a novel method called Data Availability Sampling (DAS). Instead of requiring every node to download all data, DAS allows lightweight nodes to randomly sample small chunks of a block. If enough pieces are retrievable, the node can confidently assume the full block is available. This slashes resource requirements while maintaining security and decentralization.
Why Data Availability Matters
Data availability might sound like a nerdy technical term, but it’s one of the most important yet one of less invisible parts of how blockchains work.
Let’s say you’re using a crypto app to trade tokens, store art, or move money. Every time you do something, that action (also referred to as a transaction) needs to be recorded and shared with the rest of the network so everyone agrees it happened. If that data disappears or can’t be verified, the whole system becomes untrustworthy. You might think your tokens moved but if no one else can see that record or a different version of that record, it’s as if it never happened.
Here’s a real-life parallel: imagine a public scoreboard at a sports game. If the scorekeeper shows the score to only a few people and then hides the board, how can the rest of the crowd trust the result? Everyone needs to see the score to believe it’s fair. In crypto, data availability is what makes sure the scoreboard is always visible to all participants at any time.
How DAS Changes the Game
Traditionally, ensuring data availability meant every node had to download and verify the entire block of data for any purpose related to particular data inside the block, like reading a whole newspaper just to check one article. Ethereum and most competing monolithic layer-1’s operate this way. It works, but it’s expensive, slow, and becomes less practical as blockchains scale in terms of data throughput required by its Dapps therefore limiting the types of applications that developers can build.
Celestia’s Data Availability Sampling (DAS) is a breakthrough that lets even simple devices (like smartphones) verify that a block’s data is available—by checking just a few random pieces. If enough pieces are found and correct, the network can be confident the full block is truly there and correct.
This innovation means:
• Light clients can safely participate in the network without downloading everything.
• Rollups and app-chains can post their data to Celestia with minimal overhead.
• Scalability skyrockets without sacrificing decentralization.
Celestia’s Role in Scaling Applications
Celestia is the first blockchain designed specifically to be a modular data availability layer. That means it doesn’t execute smart contracts or handle transactions directly, instead, it provides a foundation for others to build new networks, also referred to as rollups.
Developers can launch rollups or full execution environments, and use Celestia to handle the consensus and data availability side. This unlocks several key benefits:
• Massive scalability: Apps can scale independently from each other.
• Customization: Developers choose their own virtual machines, consensus mechanism and execution logic.
• Decentralization: Thanks to DAS, even small devices can validate the system.
This approach flips the script on how we think about launching and scaling blockchains. Instead of competing for space on a monolithic chain, apps get their own chains, backed by Celestia’s secure and scalable data availability layer while giving developers full stack control over their applications.
Celestia Enables Scalability and Offers Full-Stack Control
Using the restaurant example from Sui vs Aptos. Imagine a big, busy restaurant where the chefs, waiters, and cashiers all work in the same small kitchen. It gets crowded, orders take forever, and sometimes things go wrong while the backlog of orders keeps growing. That’s how traditional blockchains work, doing everything in one place.
Now imagine if the restaurant separated the jobs: the chefs cook in a big kitchen, waiters serve from a clean dining area, and the cashiers handle payments at the front desk. Everything runs smoother, faster, and the restaurant can grow in a environment that is less prone to congestion. That is what Celestia is doing for blockchains. Let’s say a small specialty restaurant opens up next door, leveraging Celestia’s register and order management system. That new restaurant can fully focus on delivering the best food and experience to customers, knowing that Celestia’s technology won’t be the limiting factor when scaling up their kitchen. The modularity that Celestia’s restaurant offers is allowing a lot of small scale restaurants to exist without the overhead of individual administrative work. It goes even a step further, Celestia allows you to just use it register while letting smaller restaurants pick their own kitchen (execution environment) and order management system (consensus layer).
In conclusion, Celestia is challenging the believe that blockchains should always be monolithic and blockchains need to offer the same technology stack to all developers on its chain. It is a significant leap forward in the crypto ecosystem and opens possibilities that were previously not feasible.
Diversify Crypto Exposure to Modular Blockchain Technology with the VanEck Celestia ETN
Key features of the VanEck Celestia ETN
• Celestia enables secure scaling of blockchain applications with modular technology.
• Fully-collateralized by TIA in cold-storage.
• Total return of TIA: Tracks the MarketVector™ Celestia VWAP Close Index (MVTIAV).
Why VanEck Crypto ETNs? Here’s why:
• With nearly 70 years in asset management and a strong track record in crypto, we bring deep industry knowledge and proven reliability.
• We combine traditional financial strengths with cutting-edge crypto innovation, backed by a CEO who truly believes in crypto’s future.
• We ensure clarity in our product structures and avoid high-risk or opaque practices, with assets fully backed by cryptocurrency in secure cold storage.
• Our assets are secured by a licensed European bank in Liechtenstein, providing top-tier compliance and security.
• We use the safest institutional custody setup available, prioritizing your security over cost savings.
Crypto is an asset class with high potential returns but investing in digital assets comes with great risk, why choose products that potentially introduce even more risks? Choose VanEck for a secure, transparent, and expertly managed crypto investment experience.
Main Risk Factors:
Investors should note that there is no direct ownership for the crypto assets, but a claim against Issuer to receive such assets.
• Complexity risk: The complexity of the project and its technological concepts make it challenging to assess its viability and valuation.
• Adoption risk: Celestia introduces additional adoption risk as it is uncertain if the concept of modular blockchains will succeed.
• Technology risk: Celestia introduces additional technology risk due to the technology being less mature and therefore could be more prone to bugs and exploits.
• Regulatory Risk: market disruptions and governmental interventions may make digital assets illegal.
• Risk of Losses and Volatility: The trading prices of many digital assets have experienced extreme volatility in recent periods and may continue to do so. There is a risk of total loss as no guarantee can be made regarding custody due to hacking risk, counterparty risk and market risk.
• Other risks specific to this ETN’s Digital Assets can also be found on the VanEck Crypto Academy.
This is not financial research but the opinion of the author of the article. We publish this information to inform and educate about recent market developments and technological updates, not to give any recommendation for certain products or projects. The selection of articles should therefore not be understood as financial advice or recommendation for any specific product and/or digital asset. We may occasionally include analysis of past market, network performance expectations and/or on-chain performance. Historical performance is not indicative for future returns.
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