The New York Times

Why the Ivy League Clings to a Strategy of Diminishing Returns

“With $136 billion in assets and enviable access to exclusive investment opportunities, Ivy League universities have long boasted that their endowments earn higher returns than other investors. Not anymore. This year the 10-year returns achieved by the endowments for all the Ivy League schools lagged a plain-vanilla portfolio of stocks and bonds, according to a new study by Markov Processes International, which closely monitors the performance of Ivy League endowments. It’s the first time that has happened in the 16 years for which Markov has data on all the Ivy League endowments.” Read the full article here. (subscription required)

Harvard’s Endowment Grew 10% Last Year, but Some Rivals Did Better

“Harvard’s returns topped the 8.4 percent gain that a typical 60-40 portfolio of Standard & Poor’s 500-stock and aggregate bond index equities would have delivered over the same period, said Jeff Schwartz, president of Markov Processes International, a quantitative research and technology firm. But the endowment at the Massachusetts Institute of Technology, for example, posted a 13.5 percent gain, bringing it to $16.4 billion; Notre Dame’s increased 12.2 percent, to $13.1 billion; and the University of Pennsylvania’s rose 12.9 percent, to $13.8 billion.” Read the full article here. (subscription required)

The Tremors From a Coding Error

“Michael Markov, C.E.O. of MPI, a quantitative research firm, said calculations using daily prices of AXA Rosenberg’s mutual fund portfolios suggest that by early 2009, there was “an apparent aberration” in the funds.” The New York Times’ Jeff Sommer features MPI’s analysis in a story “The Tremors From a Coding Error”.

MPI Found Warning Signs in Madoff’s Returns in 2006

“…(MPI) was hired by a fund two years ago to look into Fairfield Sentry’s returns and found that it was “statistically impossible to replicate them.”  New York Times article “In Fraud Case, Middlemen in Spotlight”  discusses how MPI found warning signs in Madoff’s returns.