Harvard Endowment 2008 Performance

Estimates for returns for the fiscal year ending June 30th, 2008 are around 7-9%. Pretty impressive considering stocks were down more than -10% over the same time period. Below is a table of the five main asset classes over the past year and their total returns. The buy and hold allocation is the same allocation mentioned in my paper, namely a 20% allocation to the same five asset classes. No rebalance over the time period.

click to enlarge




One could replicate these asset classes with the following ETFs:

• SPY
• VEU
• BND
• VNQ
• DBC

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"Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals" by Ana-Maria Fuertes, Joëlle Miffre and Georgios Rallis.

As usual, CXO offers up a great overview of an academic paper:

In summary, commodity futures trading strategies that combine momentum and roll return may offer strong performance largely uncorrelated with those of stocks and bonds.

How long until we see a roll return-momo managed futures ETF?

Comments

[Jake2:]

"Estimates for the returns for the fiscal year . . . pretty impressive . . . " I am not as impressed as you, apparently. One could argue that the returns on commodities were atypical and saved your bacon. I.e., they constituted a bubble, which has now burst. There is no guarantee that such returns, or any denominated return, of course, will re-occur in the future.

2008 Aug 18 12:10 PM

[Surfer1104:]

The commodity bubble scenario is a propagated fantasy developed by the lack of understanding of bubble head financial CNBC. We are in a long term commodity bull market with China an India leading the consumption of commodities.

2008 Sep 12 05:22 PM