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With fiscal year returns of 28%, it looks like Yale has the title of top endowment manager locked up.

The Yale endowment recently reported their investment returns, and the spectacular 28% tops the impressive Harvard returns of 23%. They handily beat the S&P500 (20%) and foreign stocks (27%), and swells their AUM to $22.5 billion. It looks like PIMCO hired the wrong guy!

I updated the table and chart from the earlier EndowWOWment post. Even with the amazing returns of the past 4 years, a simple timing model (leveraged 50%) does a good job of approximating the endowment returns (about .75 correlation). A 2X levered allocation would beat both of the endowments with near 20% annual returns, and a worst year of -7%. (I used commercial paper to estimate the margin rates. Discount brokers such as Interactive Brokers have margin rates in line with CP.)

Click to enlarge:

An investor could replicate the timing model with these sample ETFs:

US STOCKS: SPY, VTI, MDY, IWM
FOREIGN STOCKS: EFA, EEM
US BONDS: IEF, AGG, TIP, HYG
REITS: IYR, RWX
COMMODITIES: GSP, DBC

I get lots of emails asking about updating moving averages for timing models. Here is a table I use for internal use. If there is enough interest (leave a comment), I can post this PDF monthly. (Green cells are top 10 performance for that time period. I extrapolated some performance for some ETFs without 12 months of history.)

Source: Replicate The Yale Endowment With These ETFs