Invest Like an Endowment

Abstract

This paper studies the investment returns and asset allocation policies of college and university endowments who share annual performance and asset allocation data with the National Association of College and University Business Officers (NACUBO) annual endowment study. In this paper, we review the performance data and asset allocation policies by the size of the endowment assets as set forth by NACUBO. Further, we investigate how an individual investor could replicate the high risk-adjusted returns based on the asset allocation policies of reporting institutions, including Yale University.

Keywords: University endowments, performance, asset allocation, Yale, Keynes, illiquid assets, hedge funds, private equity, equity, fixed income, cloning, market cycle, risk adjusted returns, modern portfolio theory

JEL Classification: E32, E37, G11, G31, G00, G20, G23