常春藤盟校捐赠基金未能Beat a Simple U.S. 60-40 Portfolio — Again

A simple portfolio of 60 percent U.S. stocks and 40 percent U.S. bonds — know as a 60-40 — would have delivered almost 10 percent in fiscal 2019.

But the average Ivy League endowment, which have portfolios filled with public and private investments sourced from around the world, only racked up a 6.7 percent return for the 12 months ending June 30.

The Ivies ended theirtwo-year streakof beating a 60-40, according to research firm Markov Processes International. MPI calculated the 9.9 percent return on a domestic 60-40 portfolio using the S&P 500 index and Bloomberg Barclays U.S. aggregate bond index, rebalanced quarterly.

According toan analysis by MPI, the average Ivy League endowment lagged a 60-40 portfolio five times in the last 16 years.

Brown University was the only Ivy to beat this benchmark, and did so by a huge margin. Brown returned 12.4 percent for fiscal year. Yale,run by David Swensen，第三年，返回5.7％，而返回5.7％康奈尔generated 5.3 percent andColumbiawas on the bottom with 3.8 percent.

But the endowments’ results should be viewed in the context of an unusual fiscal year for public markets, MPI noted. Last year ended with a dramatic downturn in equities, only to be followed by a surprising rally in 2019. At the same time, Wall Street’s expectations for a rise in interest rates went in the opposite direction, bolstering the value of fixed income securities. According to MPI, the performance of a domestic 60-40 portfolio in the first quarter of 2019 was its best in a decade.

难怪简单的投资组合胜利。捐赠酋长，如大多数机构投资者，一直在预期到长牛市的结束，亚博赞助欧冠可能已经转向各种投资组合保护策略。

“基准的变化以及增加风险缓解策略的拨款，如对冲基金，而不是对冲基金而不是说，国债或将国内股权暴露在全球股票市场的较低估值细分市场，即外国发达和新兴市场股票，都会有挑战性的表现relative to a passive 60-40 portfolio,” according to MPI’s new report.

MPI’s analysis finds thatover the longer term, the sophisticated endowment model slightly underperformed a 60-40 investment strategy. The average Ivy returned 10.3 percent annualized over the last decade, versus 10.5 percent for a 40-60. Dartmouth tied the passive portfolio, whereas Princeton and Yale beat it with 11.6 and 11.1 percent annualized returns, respectively.

But those gains came with substantial risks. Many “argue that the Yale model of active management, private market exposures, absolute return strategies, and high fees is outdated, especially when we factor in the potential risk involved in achieving such gains,” reported MPI.

[IIDeep Dive:David Swensen Is Great for Yale. Is He Horrible for Investing?]

There are gaps between the Ivy League endowments’ actual returns and what MPI expected.

According to MPI’s previous analysis, the average Ivy League endowment was expected to generate estimated returns of 8.7 percent for fiscal year 2019, underperforming the 60-40 portfolio’s return. Large endowments, or those with more than $1 billion in assets, were estimated to have returned 7.2 percent. The average medium endowment was expected to deliver 6.3 percent, while small endowments with $101 million to $500 million in assets earned an estimated 6 percent return.

MPI估计2019财年退货使用2018 performance datafrom the National Association of College and Business Officers and an analysis of 2018 asset class exposures of endowments produced for亚博赞助欧冠.

“The Ivy average was 2 percent or 200 basis points below our FY2019 projection of 8.7 percent. Select individual schools, which can have an even greater margin of error given portfolio idiosyncrasies, underperformed expectations by an even wider margin. For example, our 10.1 percent estimate for Yale was well over and above the university’s uninspired 5.7 percent result,” according to MPI’s report published Monday.

It’s highly likely that endowments chiefs have made tactical and strategic shifts to their portfolios given the historic length of the economic expansion and market runup.