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The Journal of Wealth Management

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Article

Yale’s Endowment Returns: Manager Skill or Risk Exposure?

Peter Mladina and Jeffery Coyle
The Journal of Wealth Management Summer 2010, 13 (1) 43-50; DOI: https://doi.org/10.3905/JWM.2010.13.1.043
Peter Mladina
is the director of research at Waterline Partners in Los Angeles, CA. pmladina@waterline.com
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Jeffery Coyle
is the chief investment officer at Waterline Partners in Los Angeles, CA. jcoyle@waterline.com
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Abstract

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.

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The Journal of Wealth Management: 13 (1)
The Journal of Wealth Management
Vol. 13, Issue 1
Summer 2010
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Yale’s Endowment Returns: Manager Skill or Risk Exposure?
Peter Mladina, Jeffery Coyle
The Journal of Wealth Management Apr 2010, 13 (1) 43-50; DOI: 10.3905/JWM.2010.13.1.043

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Yale’s Endowment Returns: Manager Skill or Risk Exposure?
Peter Mladina, Jeffery Coyle
The Journal of Wealth Management Apr 2010, 13 (1) 43-50; DOI: 10.3905/JWM.2010.13.1.043
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  • Article
    • Abstract
    • A UNIQUE CASE STUDY
    • BACKGROUND ON RISK MODELS
    • REPLICATING THE ENDOWMENT’S ASSET ALLOCATION AND METHODOLOGY
    • REPLICATING THE ENDOWMENT’S RETURNS
    • CONCLUSIONS
    • APPENDIX
    • ENDNOTES
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More in this TOC Section

  • Editor’s Letter
  • Book Review: Wealth of Wisdom: The Top 50 Questions Wealthy Families Ask
  • Editor’s Letter
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