Teacher Retirement System of Texas
Discrimination within active: of the plan's public-equity managers, which earn their return from genuine stock selection versus buyable market, sector, and style exposure. Ranked by stock-specific risk share — the component the research shows persists out of sample. Evidence, not a recommendation.
The whole roster as one synthetic sleeve — equal-weighted look-through across the 12 resolved managers. 78% of its risk is buyable market / sector / subsector exposure; 22% is genuine stock selection. Illustrative equal weights — real allocation weights refine this.
And it's concentrated: the top 2 managers (Theleme Partners and Pershing Square Capital Management) supply 42% of the roster's stock-selection — most of the 12 managers cluster in buyable exposure you already own.
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