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The top three among those indices with positive Sharpe Ratios are the S&P EUGI (0.7529), the HFRI (0.7196), as well as the S&P USTI (0.6732), closely followed by the CAPEI (0.6406) and the PEPI BO (0.6219) on ranks four and five.
To get a more complete picture, we will consider the LPX50, the PEPI, and the CAPEI as calibration alternatives.
Again, the LPX50, the PEPI, and the CAPEI are utilized as alternative proxies for the private equity portfolio.
This is highlighted in Figure 2, which shows the portfolios from Figure 1 for all three private equity calibration options (LPX50, PEPI, and CAPEI) in the [mu]-[sigma] space.
For the PEPI and the CAPEI calibrations with their more attractive performance characteristics, in contrast, the additional private equity exposure moves the portfolio alongside the efficient frontier to the upper right in the [mu]-[sigma] space.
Furthermore, we learn from Figure 1(d) that proxying private equity by the LPX50, the PEPI, or the CAPEI does hardly make a difference under the SST standard approach, because the associated capital charges move virtually in lockstep.
The slope for the FINMA calibration equals 3.88 times the respective volatility, which compares to multiples of 2.79 for the LPX50, 3.11 for the PEPI, and 3.14 for the CAPEI. Again, these differences occur due to the correlation structures.
8 del soneto XXIII de Garcilaso que "el viento mueve esparce y desordena", con los "capei d'oro a l'aura sparsi" citados de Petrarca; mas rubios que el sol y el oro, como en el soneto del carpe diem de Gongora "Mientras por competir con tu cabello / oro brunido al sol relumbra en vano", y numerosas otras recreaciones poeticas contemporaneas.