PT  - JOURNAL ARTICLE
AU  - Peter Mladina
AU  - Jeffery Coyle
TI  - Yale’s Endowment Returns: <em>Manager Skill or Risk Exposure?</em>
AID  - 10.3905/JWM.2010.13.1.043
DP  - 2010 Apr 30
TA  - The Journal of Wealth Management
PG  - 43--50
VI  - 13
IP  - 1
4099  - https://pm-research.com/content/13/1/43.short
4100  - https://pm-research.com/content/13/1/43.full
AB  - In this article, the authors examine the underlying factors that drove the outsized performance of the Yale University Endowment over the past two decades. With the aid of the Endowment’s published asset allocation targets and their own "Proxy Portfolios" designed to replicate the Endowment’s exposure to common risk factors, they were able to delve fairly deeply into the drivers of the Endowment’s returns. As the authors observed the Endowment’s gradual transition from a conventional public markets strategy to one capitalizing on alternative investments—notably private equity, real assets, and hedge funds—it became apparent that much of the putative case for the Endowment’s performance, the skill of its active managers, was not entirely correct. This article suggests that heavy exposure to common equity risk factors and manager skill in private equity drove the Endowment’s sizable returns. These key findings have significant implications for investors who are seeking manager skill across asset classes.TOPICS: Foundations & endowments, real assets/alternative investments/private equity, performance measurement, manager selection