1.9% asset-allocation alpha
Yale ModelLong
Asset allocation 1.9% pa outperformance
Source: Yale
13.1% annualized 35y return
Yale ModelLong
Swensen 13.1% annualized over 35y
Source: OptimizedPortfolio
15% TIPS inflation
Retail AdoptionIncome
Retail 15% TIPS inflation hedge
Source: PortfolioCharts
15% Treasuries
Retail AdoptionIncome
Retail 15% Treasuries
Source: OptimizedPortfolio
15% developed intl
Retail AdoptionLong
Retail Swensen 15% developed intl
Source: OptimizedPortfolio
2.4% manager-selection alpha
Yale ModelLong
Manager selection 2.4% pa outperformance
Source: Yale
20% REITs alts proxy
Retail AdoptionMulti
Retail 20% REITs as alts proxy
Source: OptimizedPortfolio
30% domestic equity retail
Retail AdoptionLong
Retail Swensen 30% domestic equity
Source: QuantifiedStrategies
4.3% pa over 60/40
Yale ModelLong
Yale 4.3% pa over 60/40 same period
Source: OptimizedPortfolio
5% emerging markets
Retail AdoptionLong
Retail Swensen 5% EM
Source: OptimizedPortfolio
Absolute Return ~23%
Yale AllocationMulti
Yale absolute return ~23%
Source: Yale
Alts 90%+ allocation
Yale AllocationMulti
Alts 90%+ of Yale endowment now
Source: Yale
Bill+Melinda Gates Trust
FoundationsMulti
Gates Foundation Trust ~$70B
Source: encyclopedia
Bonds + Cash 7%+
Yale AllocationIncome
Yale bonds + cash ~7%
Source: Yale
Cash flow forecasting hard
CritiqueMulti
Capital calls vs distributions hard
Source: Chronograph
David Swensen pioneer
Yale ModelMulti
Swensen + Takahashi pioneered Yale Model 1985
Source: Wikipedia
Diversification 6 asset classes
Yale ModelMulti
6 roughly equal asset-class allocations
Source: Wikipedia
Domestic Equity <10%
Yale AllocationLong
Yale domestic equity <10%
Source: Yale
Equity orientation philosophy
Yale ModelLong
Heavy equity bias - growth oriented
Source: InvestWizardry
Ford Foundation
FoundationsMulti
Ford Foundation ~$16B
Source: encyclopedia
Foreign Equity ~12%
Yale AllocationLong
Yale foreign equity ~12%
Source: Yale
Harvard Mgmt Co HMC $52B
Other EndowmentsMulti
Harvard Mgmt Co $52B endowment
Source: encyclopedia
Hewlett Packard Foundation
FoundationsMulti
Hewlett Packard Foundation ~$13B
Source: encyclopedia
High fees vs returns
CritiqueMulti
Alts fee drag offsets some excess return
Source: encyclopedia
Howard Hughes Medical Inst
FoundationsMulti
HHMI ~$24B
Source: encyclopedia
Illiquidity premium embraced
Yale ModelMulti
Embrace illiquidity for premium
Source: Wikipedia
Inefficient markets focus
Yale ModelMulti
Target less-efficient markets - alpha
Source: Yale
Leveraged Buyout ~17%
Yale AllocationLong
Yale LBO ~17% allocation
Source: Yale
Liquidity risk 2008-09
CritiqueShort
2008-09 endowments faced liquidity squeeze
Source: encyclopedia
Long-term horizon perpetual
Yale ModelMulti
Endowment is perpetual - long horizon
Source: Yale
MIT $24B+
Other EndowmentsMulti
MIT Investment Mgmt $24B+
Source: encyclopedia
MacArthur Foundation
FoundationsMulti
MacArthur Foundation ~$8B
Source: encyclopedia
Manager selection critical
Yale ModelMulti
Manager selection key to alpha
Source: Chronograph
Manager-access bottleneck
CritiqueMulti
Top-tier managers cap LP access
Source: Chronograph
Natural Resources ~5%
Yale AllocationMulti
Yale natural resources ~5%
Source: Yale
Northwestern $14B
Other EndowmentsMulti
Northwestern endowment ~$14B
Source: encyclopedia
Notre Dame $20B
Other EndowmentsMulti
Notre Dame endowment ~$20B
Source: encyclopedia
Penn $21B+
Other EndowmentsMulti
Penn endowment ~$21B
Source: encyclopedia
Pioneering Portfolio Management book
Yale ModelMulti
Swensen's institutional book
Source: Wikipedia
Princeton $34B+
Other EndowmentsMulti
Princeton endowment $34B+
Source: encyclopedia
Real Estate ~10%
Yale AllocationMulti
Yale real estate ~10%
Source: Yale
Rockefeller Foundation
FoundationsMulti
Rockefeller Foundation ~$5B
Source: encyclopedia
Sharpe higher than S&P
Retail AdoptionLong
Retail Swensen Sharpe > S&P 500
Source: OptimizedPortfolio
Smoothing rule for spending
CritiqueMulti
Spending smoothing rule for stable budget
Source: Yale
Stanford Mgmt $36B+
Other EndowmentsMulti
Stanford Mgmt Co $36B+ endowment
Source: encyclopedia
Swensen 7.5% CAGR 2000-2026
Retail AdoptionLong
Retail Swensen 7.5% CAGR 2000-2026 13% vol
Source: OptimizedPortfolio
Swensen Retail Portfolio
Retail AdoptionMulti
Swensen retail allocation Unconventional Success
Source: PortfolioCharts
Takahashi-Alexander forecasting
Yale ModelMulti
T-A model for illiquid cashflow forecast
Source: Chronograph
Unconventional Success retail book
Yale ModelMulti
Swensen's retail-investor book
Source: PortfolioCharts
University Texas UTIMCO $54B
Other EndowmentsMulti
UTIMCO Texas Permanent University Fund
Source: encyclopedia
Venture Capital ~23%
Yale AllocationLong
Yale VC ~23% allocation
Source: Yale
Wellcome Trust UK
FoundationsMulti
Wellcome Trust UK ~£40B
Source: encyclopedia
Yale -25% FY2009
CritiqueShort
Yale -24.6% FY2009 (Jul 08-Jun 09)
Source: encyclopedia
Yale endowment $1.3B → $40B
Yale ModelLong
Yale endowment $1.3B 1985 → $40B+ 2021
Source: OptimizedPortfolio
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.