Does actual performance support the view that university endowments are exemplary stewards of multi-asset class portfolios? In his November 2021 paper entitled "The Modern Endowment Story: A Ubiquitous U.S. Equity Risk Premium", Richard Ennis re-examines aggregate allocations and performance of U.S. educational endowments. Specifically, he:
- Estimates effective aggregate endowment asset class allocations over different recent sample periods via multiple regressions of endowment returns versus returns of three indexes: Bloomberg Aggregate U.S. bonds; Russell 3000 stocks; and, currency-hedged MSCI ACWI ex-U.S. stocks.
- Applies these effective allocations to construct benchmark portfolios of these three indexes for the different sample periods.
Using investment data for over 100 U.S. educational endowments with assets over $1 billion during the 13 years ending June 2021, he finds that:
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