Asset Allocation & Rebalancing Intelligence

Arbor University Endowment · $680M AUM · 6.2% Target Return

Max Drift Score

1.42

US Equity +3.4pp

Rebal Cost Est.

$2.1M

48 bps impact

Efficient Frontier ΔE[R]

−18

bps below optimal

Diversification Ratio

1.38

+0.02 vs target

Currency Exposure

22%

52% hedged

Alternatives Pace

94%

On target

Allocation Drift by Asset Class

US Equity

+1.42σ

Intl Dev Equity

+0.34σ

EM Equity

−0.73σ

IG Fixed Income

+0.21σ

HY Credit

−0.28σ

Real Assets

+0.18σ

Private Equity

−1.15σ

Hedge Funds

−0.42σ

Efficient Frontier Position & CMA Implied Returns

Rebalancing Cost-Benefit Analysis

90-Day Drift History

Geographic Concentration (HHI by Country)

Currency Exposure vs. Hedge Ratio

Alternatives Pacing & Commitment Schedule

Pre/Post Rebalancing Simulation — Portfolio Metrics

Metric	Current (Pre-Rebal)	Proposed (Post-Rebal)	Delta	Status
Expected Return (annualized)	6.02%	6.20%	+18 bps	Improved
Portfolio Volatility	11.8%	11.2%	−60 bps	Improved
Sharpe Ratio	0.51	0.55	+0.04	Improved
Diversification Ratio	1.38	1.42	+0.04	Improved
Max Drift Score	1.42σ	0.08σ	−1.34σ	Resolved
Equity/Fixed Income Balance	53.2% / 18.6%	50.0% / 18.0%	Rebalanced	On Target
Tracking Error to Policy	1.24%	0.18%	−106 bps	Improved
Expected Shortfall (95% VaR)	−18.2%	−16.8%	+1.4pp	Improved
Transaction Cost	—	$2.1M	48 bps	Cost
Net Benefit (1-yr horizon)	—	+$980K	14 bps	Positive ROI