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Endowment Update

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By Douglas A. McIntyre Published
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Posted by Mebane Faber

Below is a table constructed from the 2006 Annual Reports from the Harvard and Yale Endowments. Similar in content to my previous post analyzing how a simple buy and hold can replicate the returns of the top endowments, this post focuses on comparing the endowments to the timing strategy mentioned in my paper.

I added a column for the "Average Endowment". The final numbers are similar to the last update, with the exception being an additional 5% allocation to foreign equities at the expense of bonds. It is interesting to note the very low allocation to bonds by the Yale endowment ( < 4%). I also divided the Real Estate and Commodities evenly, as the report did not break out the %ages for the "Real Assets" category.

Below is the Table comparing the returns from 1983 – year end 2004 for Harvard, buy and hold of the five asset classes evenly weighted (AA), and the Timing strategy on the same asset classes. 40 bps were deducted from the buy and hold and timing ports for ETF/mutual fund fees, which were rebalanced yearly. The Sharpe Ratio is slighly superior to Harvard’s returns.

Posted by Mebane Faber

http://worldbeta.blogspot.com/

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About the Author Douglas A. McIntyre →

Douglas A. McIntyre is the co-founder, chief executive officer and editor in chief of 24/7 Wall St. and 24/7 Tempo. He has held these jobs since 2006.

McIntyre has written thousands of articles for 24/7 Wall St. He is an expert on corporate finance, the automotive industry, media companies and international finance. He has edited articles on national demographics, sports, personal income and travel.

His work has been quoted or mentioned in The New York Times, The Wall Street Journal, Los Angeles Times, The Washington Post, NBC News, Time, The New Yorker, HuffPost USA Today, Business Insider, Yahoo, AOL, MarketWatch, The Atlantic, Bloomberg, New York Post, Chicago Tribune, Forbes, The Guardian and many other major publications. McIntyre has been a guest on CNBC, the BBC and television and radio stations across the country.

A magna cum laude graduate of Harvard College, McIntyre also was president of The Harvard Advocate. Founded in 1866, the Advocate is the oldest college publication in the United States.

TheStreet.com, Comps.com and Edgar Online are some of the public companies for which McIntyre served on the board of directors. He was a Vicinity Corporation board member when the company was sold to Microsoft in 2002. He served on the audit committees of some of these companies.

McIntyre has been the CEO of FutureSource, a provider of trading terminals and news to commodities and futures traders. He was president of Switchboard, the online phone directory company. He served as chairman and CEO of On2 Technologies, the video compression company that provided video compression software for Adobe’s Flash. Google bought On2 in 2009.

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