Sunday, January 20, 2019

How Has Yale Done Since the Financial Crisis?

Just following up on Financial Independence's comment on my post linking David Svensen's 2008 lecture. How has Yale done since Svensen's lecture? It is easy to find out by checking the endowment's annual reports. Yale's financial year is from July 1st to June 30th. The graph shows Yale's total return index against the MSCI, S&P 500, and HFRI, where the others are all calculated on a July to June basis too.

Yale has performed quite well, eventually outperforming the MSCI World Index, but underperforming the S&P 500. Yale's diversification didn't help in the financial crisis. Their returns were just as negative as those of the MSCI and the S&P 500 in 2008-9. By contrast, the HFRI suffered only small losses in 2008-9. The bottom line is that Yale's returns are quite similar to an equity index.

Here is their asset allocation over the years:

Prior to 2013 they didn't report venture capital separately from buyout funds and so "Leveraged Buyouts" represents all private equity in the earlier years. Also, prior to 2009 they didn't report real estate and natural resources separately and so "natural resources" covers both. Over the years they have increased private equity and foreign stocks and reduced real estate and domestic stocks.


Financial Independence said...

Hello mOOm,

Thank you for posting the statistic on Yale endowment performance. I really appreciate your response.

Its very solid performance and many funds struggling to repeat S&P 500 performance even they mirroring it.

Where did your data came from on S&P500, when I look at Vanguard with $10K invested in 2008 it became almost $40K in 2018:

your chart shows only 2.5 times increase.

mOOm said...

I use the total return index from S&P. Because Yale's financial year is 1 July to 30 June, the 2018 number for the S&P 500 is as at 30 June 2018. So, it starts out with a big drop. If you measure from 31 December 2018, you will get much greater growth, I think.