Tag Archives: Selection Return

Measuring the Ivy 2017: A Year in the Upside Down for Endowment Returns

Summary While stranger things have happened, this year’s big winners and the factor exposures that drove their returns were certainly atypical. Overall, the Ivies reversed the disappointing results of FY 2016, with all registering positive returns and all but Harvard beating the 60-40 portfolio (only the second time that’s happened since 2009). Traditional under-performers outperformed, […]

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2017 Ivy Endowment Performance Puzzle: Was Equity Allocation Strategy Irrelevant?

Ivy League endowments number three (Cornell) and four (Penn) released their 2017 returns Friday, producing an impressive 12.5 percent and 14.3 percent return, respectively. When compared with Dartmouth and Harvard endowment returns, which we analyzed last week as part of MPI’s annual Measuring the Ivy endowment performance series, an interesting trend emerges. Regardless of their […]

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Measuring the Ivy 2017: Dartmouth vs. Harvard, Similar Exposures Yield Significantly Different Results

With the first two Ivy League endowments turning in their fiscal year 2017 returns, we’re providing a snapshot to compare how Harvard and Dartmouth did relative to each other using our patented Dynamic Style Analysis (DSA) model. DSA is an enhanced (returns-based) quantitative analysis model that provides a more transparent view of opaque or complex […]

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Ivy League Endowments 2016 Performance Review

An 1873 meeting that brought Harvard, Yale and Princeton together to codify the rules of American football also debuted a sports conference later known as the “Ivy League — eight elite institutions whose heritage, dating from pre-Revolutionary times, became formative influences shaping American character and culture.  These schools also pioneered endowment investment management, thus helping […]

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Can Annual Returns Be Used to Unlock the Sources of Top Endowment Performance?

A Sneak Peek of MPI’s Endowment Study. Fall has brought with it excitement and some surprise in a much-watched annual contest. No, we’re not talking about the World Series but rather endowment-reporting season. Fiscal year (FY) 2015 returns[1] are now in from many of the top college endowments. Bowdoin, with almost $1.4B AUM, has taken […]

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Equity Emerging Markets Global

Equity Emerging Markets Global funds’ performances range from -43.56% to 7.49% over the last 52 weeks (ending October 28, 2011), in EUR terms. On average, the best 5% of the funds outperform the market (pegged to the MSCI Emerging Markets Index) by approximately 7.95% and the worst 5% underperform by approximately 14.04%. We last analyzed […]

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Quant Analysis of Paulson Advantage Funds

by Daniel Li and Alexandre Dussaucy By the end of September, John Paulson’s two flagship funds, the Paulson Advantage and the leveraged Advantage Plus fund, have lost 32% and 45%, respectively, for the year. As these losses loom large, many analyses and commentaries are trying to explain what went wrong. These reports, such as the […]

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Asia Pacific ex Japan–USD & EUR Denominated Share Classes

Asia Pacific ex Japan equity funds’ performance ranges from -0.59% to 40.34% over the last 52 weeks (ending February 25, 2010), in USD terms. The best 5% of the funds outperform the market (pegged to the MSCI AC Asia Pacific ex Japan) by approximately 11.9% and the worst 5% underperform by approximately 14.4%. What role […]

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Style Primer

In the late 1980’s Nobel Laureate William F. Sharpe introduced an analytical process for determining the composition of an investment portfolio solely based on knowing the performance history of the portfolio. The result of the analysis was expressed in terms of an “effective mix” – a combination of market indices whose return most closely approximated […]

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