Clone Endowment Asset Allocations

Clone Endowment Asset Allocations

April 17, 2013 Tactical Asset Allocation Research
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(Last Updated On: May 9, 2014)

Getting access to what the top asset allocation brains are thinking is easy– “Google it.”

For example, I googled “yale endowment asset allocation filetype:pdf” and the top document was a PDF outlining Yale’s asset allocations.

http://investments.yale.edu/images/documents/Yale_Endowment_12.pdf

Why is this potentially useful? The endowments have to spill the beans so their alumni can keep tabs on what they are doing with all the cash.

Layout 1 - Google Chrome_2013-04-17_08-04-05
The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

How might you clone this on the cheap?

Meb’s book “The Ivy Portfolio” is a good place to start if you want to clone the endowments.

We have a simple spreadsheet that might help you get started (numbers need to be updated, but it will provide a framework to get started):

Microsoft Excel - asset allocation
The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

 

 


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Definitions of common statistics used in our analysis are available here (towards the bottom)




About the Author

Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.