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Index Absolute return, 39, 97 allocation within Harvard Access, 175 endowment, 50–53, 191–193 Ackman, William, 121 allocation within Yale AHL Core, 121 endowment, 191–193 Allied Capital, 95 annual returns of Harvard and Alpha, 31, 140, 166 Yale endowments, 58 AlphaClone, 172, 183 and beta, 30 Alternative beta, 117 Harvard endowment Alternative Investment performance, 52 Strategies Ltd., 122, 127 performance, 29, 137 Altin AG, 122 and risk, 30 American Association of Yale endowment performance, IndividualCOPYRIGHTED Investors MATERIAL33 (AAII), 178 Assets, illiquid, 5, 37 Anchoring, 139–140 Andreassen, Paul, 139 Bear market, 146 Arbitrage, 45–46, 118 Beating the Dow (O’Higgins), 119 Asness, Clifford, 31 Behavioral fi nance, 138 Asset classes: Benchmark indexes, 30, 32, 85–92 219 bbindex.inddindex.indd 221919 22/13/09/13/09 111:38:101:38:10 AAMM 220 index Berkowitz, Bruce, 118 Carried interest, 86 Berkshire Hathaway, 65, 166, 174, Carry, 115 177–179 CGM Focus Fund, 118 Beta, 30–31, 117 Chan, Johnny, 173 Bias, 86, 95, 107, 138–140, 188 Claymore/Clear Global Timber Blackstar Funds, 72 (CUT) exchange traded Black Swan, The (Taleb), 72, 148 fund, 47 Blood in the Streets: Investment Closed-end funds, 36, 115 Profi ts in a World Gone Mad Clustering, 167 (Davidson), 163 Commodities, 69–70, 116 Blue Ridge Capital, 180–182 Common Stocks and Uncommon Bogle, Jack, 71 Profi ts (Fisher), 139 Bok, Derek, 43 Compounding, 146 Bonds, 28–29, 62 Convexity Capital Bonds, U.S. government, 26–27, Management, 49 153, 201 Correlations, 25–27 Boston University, 7 Covel, Michael, 141 Boussard & Gavaudan Holding Covered calls, 118 Ltd., 125–126 CPI-U, 11 Buffett, Warren, 106, 135, CreditSuisse/Tremont Hedge 139–140, 171, 176–179 Fund Index, 110–112 Building-blocks method, 70 Crittenden, Eric, 72 Bulldog Investors, 173 Cross-market momentum, 159 Buy-and-hold Policy Portfolio, 77 Currencies, 115–116 Buybacks, 120 Buyout, 38, 84, 90 D. E. Shaw hedge fund, 104 Dalio, Ray, 25, 166 Cabot, Paul, 43–44 DB Carry ETF, 116 Cabot, Walter, 44 DB Currency Returns Index, 116 Calmar ratio, 66 Defl ation, 62 Cambium Global Timberland Deutsche Bank, 115–116 (TREE.L), 48 Dexion Absolute, 122, 125–126 Cambridge Associates, 85–86, 87 Dexion Alpha, 121 Capital asset pricing model Dexion Equity Alternative, 128 (CAPM), 70 Directional hedge funds, 100, Capital gains, 161 102–103 Carr, Mike, 74 Discipline, 162–163, 185 bbindex.inddindex.indd 222020 22/13/09/13/09 111:38:101:38:10 AAMM Index 221 Diversifi cation, 22, 37, 50–53, 71, top 20 by size, 10 153, 159 Equity: Dividend funds, 119–120 assets, 62 Dogs of the Dow, 119 domestic, 34–35 Dollar-weighted endowments. foreign, 35–36 See Super Endowments funds, 88 Domestic equity, 34–35 hedged, 116 Dow Jones Industrial Average private (See Private equity) (DJIA), 119 ETFs (exchange traded funds), 47 Drawdowns, 59–60, 66, 135–136, benefi ts of, 92–93 137, 152 private equity, 92–96 sample Policy Portfolio, 75, 76 Easterling, Ed, 144 using to build Policy Portfolio, EDGAR database, 174 55, 70 Effi ciency, market. See Market Extensions, 158–159 effi ciency Extraordinary Popular Delusions Effi cient frontier, 23, 24 and the Madness of Crowds 80/20 rule, 72 (Mackay), 138 Einhorn, David, 95, 179–180 El-Erian, Mohamed, 49, 50, 51, Fairholme Fund, 118 53, 55, 66, 67–68, 70 Fama French Factor model, 74 Emerging stocks, 60–61 Fat tails, 148 Emory University, 7 Fees, 71, 105–106, 158–159, Emotions, 163 176, 191 Endowment Management and Fisher, Philip, 139 Research Corporation Fixed-income funds, 37 (EM&R), 19–20 Fooling Some of the People Endowments. See also Harvard All of the Time (Einhorn), endowment; Yale 96, 179 endowment Ford Foundation, The, 19, 65 asset allocation, 12, 13, 14 Foreign equity, 35–36 differences from average Foreign listed hedge funds, 114, investment portfolio, 4–8 121–123, 129–130 performance of, 11–14 Form 13F-HR. See 13Fs poor management of, 6–7 Fraser-Sampson, Guy, 96 returns, 12, 13, 14 Fuller & Thaler Asset size of, 8–11 Management, 104 bbindex.inddindex.indd 222121 22/13/09/13/09 111:38:111:38:11 AAMM 222 index Fund of funds (FOFs), 92, asset class performance, 52 103–112 history, 42–43 created by investor, 182–185 returns, 56, 63 drawbacks, 105–106 structure compared with largest, 123, 125–128 Yale’s, 43 Futures, 70–71, 116–117, 176 vs. S&P 500, 61 Harvard Management Company Gains, 161–162 (HMC), 43–44, 48–50 General partner (GP), 85 Hedged equity, 116 Gire, Paul, 167 Hedge Fund Research, Inc. Global Timber & Forestry Index (HFRI), 108, 111 Fund (WOOD) ETF, 47 Hedge funds, 49, 97–132, 189 Go anywhere funds, 117–118 academic, 104–105 Golden Circle, 83 assets vs. number of funds, 99 Goldman Sachs Commodity benefi ts, 100 Index (GSCI), 31, 154, 200 bias, 107 Goldman Sachs Dynamic categories, 100 Opportunities, 127 drawbacks, 100, 101 Goldstein, Philip, 173 foreign listed, 114, 121–122, Google, 83 129–130 Gottschalg, Oliver, 86 individual, 123–125 Graham, Benjamin, 176–177 introduction to, 98–105 Greenlight Capital, 179–180 largest, 123 Greenwich Alternative options to invest in, 112–123 Investments, 111 performance, 106–112 Greer, Bob, 70 portfolio development, 186 Griffi n, John, 181 practical considerations, Grinnell College, 11 131–132 Gross, Bill, 50 problems with tracking GSCI. See Goldman Sachs performance, 106–107 Commodity Index (GSCI) strategies, 101–102 and Super Endowments, 98–99 Harris Alternatives, 122 U.S. listed, 115 Harvard endowment, 3–4, 41–53 using indexes to track returns, annual returns, 42, 57, 58 107–110 asset allocation, 50–53, 62, vs. 13F strategy, 175–176 191–192 and Warren Buffett, 178 bbindex.inddindex.indd 222222 22/13/09/13/09 111:38:111:38:11 AAMM Index 223 Heebner, Ken, 118 moving average timing model, HEPI (Higher Education Price 156, 157, 203–204 Index), 12, 29 rebalancing, 202–203 Herding, 141 returns vs. Harvard and Yale HFRI Fund of Fund Composite endowments, 63 (HFRIFOF), 108 and risk-adjusted returns, HFRI Weighted Composite 64–65 Index (HFRIFWI), 108 sample using ETFs, 75, 76 Highfi elds Capital vs. timing, 1972–2007, 155 Management, 49 Holding period, 174–175 Jacobson, Jonathan, 49 Holy Grail, 169 J-Curve, 85 Hussman Strategic Growth Jones, Alfred Winslow, 97, 99 Fund, 116 Journal of Financial Planning, 167 Just One Thing (Mauldin), 144 Ibbotson, Roger, 70, 95 Illiquid assets, 5, 37 Kahneman, Daniel, 138–149 Index funds, 71, 109 Kaplan, Paul, 95 Indexing, 30–32, 71–74, 107–110 Kindleberger, Charles, 138 Infl ation, 5, 6, 28–29, 62, 68–69 Information overload, 139 Larson, Jeffrey, 49 Initial public offering (IPO), 85 Lehman Opta Private Equity Internal rate of return (IRR), (ETN), 95 85, 91 Lending, securities, 44 International LPE Index, 95 Leverage, 97, 158–159 Investment: Leveraged buyout funds, 38 horizon, 5 Limited liability companies return on, 64 (LLCs), 99 risk, 138 Limited partnerships (LP), 44, 85, volatility, 64 90–91 Investment Company Act of Liquidity, 5, 175 1940, 99 Listed Private Equity (LPE) Ivy Portfolio, 62 Index, 95 asset classes, 191–192 Litterman, Bob, 33 building, 55–79 Little Book of Common Sense drawdowns, 66 Investing, The (Bogle), 71 implementing, 188–190 Logarithmic chart, 145 bbindex.inddindex.indd 222323 22/13/09/13/09 111:38:111:38:11 AAMM 224 index Long-term capital gains, MSCI EAFE Index, 93, 153, 161–162 161, 200 Long-Term Capital Management Mutual fund, 115 (LTCM), 105 Loss, 136–141, 161 NASDAQ, 93, 138, 142 Lowenstein, Roger, 105 National Council of Real Estate Investment Fiduciaries Mackay, Charles, 139 (NCREIF) Timberland Managed futures, 116–117 Index, 46–47 Management, active, 14–16, Net asset value (NAV), 36 31–32, 34–36 Nominal returns, 5 Man Group, 121 Nondirectional hedge funds, Manias, Panics, and Crashes 100, 101 (Kindleberger), 138 Nudge: Improving Decisions about Margin fees, 158–159 Health, Wealth, and Happiness Market effi ciency, 33 (Thaler), 104 Market timing, 140, 142, 144, 145–152 O’Higgins, Michael, 119 and bear markets, 146–147 Oil and gas assets, 38 and endowment returns, 166 Optimization, 148 improvements, 158–159 Out of sample testing, 151–158 results 1973–2007, 152 Overconfi dence, 139 Markowitz, Harry, 19, 22 MAR ratio, 66 Passive Foreign Investment Mauldin, John, 144 Companies (PFICs), 131 Mean reversion, 163–165 Paulson funds, 98, 121 Mean-variance analysis, 22–24 Payout yield, 118 Mendillo, Jane, 50 Pershing Square Capital Merger arbitrage, 118 Management, 121 Merriam Capital, 162 PerTrac, 106 Meyer, Jack, 41, 45–46, 48–50, 71 Phalippou, Ludovic, 88 Mispricing, investment, 44 Phaunos Timber Fund Momentum, 74, 115, 195–197 (PTF.L), 48 Monte Carlo simulation, 27 PIMCO, 50 Moving average timing model, Pioneering Portfolio Management 140–142, 150, 151, 153–154, (Swensen), 33, 38, 68, 77 156, 157 Policy Portfolio, 13 bbindex.inddindex.indd 222424 22/13/09/13/09 111:38:121:38:12 AAMM Index 225 construction based on Ivy REITs (real estate investment Portfolio allocation, 71 trusts), 56, 154, 201 Harvard and Yale endowments Relative strength system, 159 vs. S&P 500, 61 Renaissance Technologies, 104, Harvard’s, 44–46, 51 106 selecting, 188 Returns: using ETFs to build, 55 absolute, 39 Yale’s, 28–30, 33–34 excess, 140 Portfolio management, 175, 183, expected, 25 187–193 Harvard and Yale endowments, Positive feedback loop, 90 57 PowerShares, 93 increasing, 158 Princeton Newport Partners, nominal, 5 104–105 on publicly traded asset classes, Private equity, 38, 44–45, 50, 136–137 83–96, 189 real, 5 benchmarking, 85–92 risk-adjusted, 64–66, 142 ETFs in a portfolio, 94 Reversion, mean, 163–165 how to invest in, 91–96 Risk, 30 what it is,
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