John At The Center

Martin Leibowitz, managing director of research at Morgan Stanley, examined the risk and return characteristics of a hypothetical endowment model portfolio with a 40 per cent allocation to alternatives between 2003 and 2007. Although the portfolio outperformed a traditional one with 60 per cent in stocks and 40 per cent in bonds, he discovered that it did not materially reduce volatility. In fact, the performance of US equities explained 94 per cent of the endowment portfolio’s overall return.

http://www.ft.com/cms/s/0/40c40a0c-a484-11dd-8104-000077b07658.html