“Brown and Cornell bucked their historical trends by outperforming Yale, Princeton, and Harvard. Over the past 11 fiscal years, either Brown, Cornell, or both were among the bottom two performers among Ivy League endowments.” This CIO article features interview with MPI’s Sean Ryan and discusses our 2017 Ivy Endowment returns analysis report.
In stark contrast to FY 2016, this past year was a strong one for most endowments. In fact, nearly all the Ivy League endowments, Harvard being the only exception, beat the 60-40 portfolio, a commonly cited benchmark that endowments measure their performance against.
The returns of endowments can be attributed to two fundamental components: asset allocation and security selection. Asset allocation is what a factor model is generally able to explain, shown in terms of factor exposures.
On page 12 of the article by AlphaQ, Sean Ryan, Senior Research Analyst at investment research and technology firm, Markov Processes International (MPI) examines whether endowments have adopted the Yale model.
Yale’s endowment ran away from its Ivy League peers during the 2016 fiscal year with a 3.4% total return, according to a report from Markov Process International. Princeton came in second place with an 0.8% return, the only other school with a positive return. Read more about the study on Pensions & Investments.
MarketWatch reports that MPI said asset allocation remained the most important factor in endowment performance, as returns at Ivy League endowments dropped off over the past year.
The short answer, following a year in which the Yale CIO and the endowment he leads avoided carnage in commodities and emerging markets, is no. Here’s why.
There’s book smart and there’s money smart, and sometimes those two things don’t coincide. That could be the takeaway from the latest data from risk analytics firm MPI (Markov Processes International, which reviewed how Ivy League endowments are performing this year. The answer is not great for many of America’s top schools. See more about these insights on Barron’s.
An 1873 meeting that brought Harvard, Yale and Princeton together to codify the rules of American football also debuted a sports conference later known as the “Ivy League — eight elite institutions whose heritage, dating from pre-Revolutionary times, became formative influences shaping American character and culture. These schools also pioneered endowment investment management, thus helping to secure the nation’s educational legacy for posterity.