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Dec. 9, 2015
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MEASURING RISK
New Metric Offers LPs a Way to Gauge the Risk and Volatility of Their Investments
BY MACK HERLYN AND MINN KIM,
BLOOMBERG DATA
Comparing Pensions
We began with the buyout portfolio of
Pennsylvania Public School
Employees Retirement System, first
analyzing just that portfolio and then
comparing its risk profile to that of the
universe of all buyout funds.
Between 1998 and 2010, Penn PSERS
had a remarkably steady Peracs risk
coefficient, ranging between 0.27 in 1998
to 0.4 in 2010.
A risk coefficient of 0 indicates perfect
equality or in other words, that all fund
managers provided the same levels of
return. A risk coefficient of 1 indicates
perfect inequality one fund manager is
responsible for all the returns. (In more
Dec. 9, 2015
Bloomberg Brief
Private Equity
MEASURING RISK
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This story was written by Bloomberg LP employees involved with data collection and was edited by the News Department. To
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