Auby: Bifurcating zero-beta and directional strategies is fairest hedge fund benchmark
Jace Auby · Jase Auby - Risk, Size, and Talent at Texas Teachers (EP.404) · Sep 9, 2024 · at 23:00
Jase Auby, CIO of the Teacher Retirement System of Texas (TRS), explains how TRS structures and benchmarks its $22B hedge fund portfolio to avoid muddled reporting.
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“And so we measure that stable value hedge fund portfolio versus a cash-like benchmark plus a spread. Then we measure that directional portfolio versus a full beta long only equity benchmark. And so we overlay that portfolio with derivatives in order to achieve that full beta. But we feel like that's the fairest way to measure hedge funds because so often hedge funds get muddled.”
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