The Ivy Portfolio:How to Invest Like the Top Endowments and Avoid Bear Markets.pdf
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1、T H E P O R T F O L I O Mebane T. Faber Eric W. Richardson How to Invest Like the Top Endowments and Avoid Bear Markets Faber Richardson THE IVY PORTFOLIO How to Invest Like the Top Endowments and Avoid Bear Markets Over the past twenty years, the Yale University and Harvard University endowments ha
2、ve achieved unprecedented investment success. Since 1985, the Yale University endowment returned 16.62% per year, easily surpassing the S coauthors of The Fundamental Index: A Better Way to Invest “Analysis of institutional holdings (13F analysis) is one of the most useful yet underused tools in an
3、investors research arsenal. Along with taking readers into the arcane world of endowment investing, The Ivy Portfolio provides actionable advice on how to trade alongside the top investment professionals of our time.” Justin Walters, cofounder, Bespoke Investment Group LLC A do-it-yourself guide to
4、investing like the renowned Harvard and Yale endowments. The Ivy Portfolio shows step by step how to track and mimic the investment strategies of the highly successful Harvard and Yale endowments. Using the endowment Policy Portfolios as a guide, the authors illustrate how an investor can develop a
5、strategic asset allocation using an ETF-based investment approach. The Ivy Portfolio also reveals a novel method for investors to reduce their risk through a tactical asset allocation strategy to protect them from bear markets. The book will also showcase a method to follow the smart money and piggy
6、back the top hedge funds and their stock-picking abilities. With readable, straightforward advice, The Ivy Portfolio will show investors exactly how this can be accomplished and allow them to achieve an unparalleled level of investment success in the process. With all of the uncertainty in the marke
7、ts today, The Ivy Portfolio helps the reader answer the most often asked question in investing today“What do I do?” $49.95 USA / $59.95 CAN P ra i se for T H E I V Y PORT FOL IO ( c o n t i n u e d o n b a c k f l a p ) ( c o n t i n u e d f r o m f r o n t f l a p ) ffirs.indd ivffirs.indd iv2/13/0
8、9 10:36:22 AM2/13/09 10:36:22 AM The Ivy Portfolio How to Invest Like the Top Endowments and Avoid Bear Markets Mebane T. Faber Eric W. Richardson John Wiley thank you to every one of you. flast.indd xiiflast.indd xii2/13/09 10:41:52 AM2/13/09 10:41:52 AM 1 Part One CONSTRUCTING YOUR IVY PORTFOLIO c
9、01.indd 1c01.indd 12/13/09 10:43:21 AM2/13/09 10:43:21 AM c01.indd 2c01.indd 22/13/09 10:43:21 AM2/13/09 10:43:21 AM 3 Chapter 1 The Super Endowments 16.62%. T hat fi gure is the annualized return the Yale University endow- ment has returned per year between 1985 and 2008.1 To put that number into p
10、erspective, the S therefore, the yearly returns for the indexes will look slightly different from the calendar year ending December 31 st . 2Volatility is measured as the standard deviation of yearly returns unless noted other wise. c01.indd 3c01.indd 32/13/09 10:43:21 AM2/13/09 10:43:21 AM 4 c o n
11、s t r u c t i n g y o u r i v y p o r t f o l i o Figure 1.1 shows the performance of the top two endowments (by size) versus the S in later chapters we will examine some of the behavioral biases that led the Yale trustees to make unfortunately timed decisions and how you can avoid them in your own
12、portfolio. Figure 2.1 shows the poorly performing endowment s effects on the diminished contributions to the overall revenue of the university. Once accounting for around 50% of university revenue, the endow- ment income of the 1960s and 1970s added only minimal amounts to the operating budget. As r
13、ecently as 1982, the endowment was still below the targeted purchasing power goal. Yale ended the relationship with EM we included this simplifi ed version to compare Yale s endowment to the average endowment.) Yale does not break out its investments in real assets. We have assumed an even split bet
14、ween real estate and commodities, but in reality the university has a diverse allocation of timber, oil and gas part- nerships, real estate investments, and other real assets. Compared with the average endowment, Yale has: Less stock exposure. Much less bond exposure. Much more real estate, commodit
15、ies, private equity, and hedge funds. The portfolio reaches for high returns, thus the endowment is biased towards equity, and equity - like asset classes, which total 96% of the endowment. Bonds, due to their vulnerability to infl ation, are in the Table 2.4 Average Performance of Asset Classes dur
16、ing the Worst 10 Stock Market Months 19722008 Average% Positive S to maintain librar- ies, museums, and other collections; to support teaching and research activities; and to provide ongoing support for a wide variety of other activities. Similar to the situation at Yale, the great majority of these
17、 funds carry some type of restriction directing that the funds are used for a particular purpose. The Owner s Mentality Historically, the Harvard endowment has been structured quite differ- ently from Yale s. While Yale outsources almost all of its fund management to outside managers, Harvard histor
18、ically has managed most of its money internally, somewhat resembling an in - house hedge fund that, at its peak, had about seven times as many employees looking after its investments (175) as did Yale (around 25). The early seeds of the modern endowment were planted in the early 1970s. Paul Cabot wa
19、s the treasurer for 15 years until 1974, and he oversaw growth in the endowment from about $ 200 million to over $ 1 billion. He managed the endowment as an account at his fi rm State Street Management, which was paid a tiny $ 20,000 fee for doing so. By 1974, the endowment was getting large enough
20、to create a separate structure, and Harvard incorporated its own not - for - profi t Harvard Management Company as a wholly owned sub- sidiary of the university in July of that year. This creation was to the regret of then President Derek Bok, who remarked, “ Harvard is an educational institution an
21、d has no particular skill in operating an investment company, ” ( Great Good Fortune: How Harvard Makes Its Money by Carl Vigeland ). Fortunately for Harvard s future students, he would be proven very wrong. Paul Cabot was followed as treasurer by George Putnam who decided that HMC needed a full - t
22、ime manager. Putnam promptly c03.indd 43c03.indd 432/13/09 10:58:21 AM2/13/09 10:58:21 AM 44 c o n s t r u c t i n g y o u r i v y p o r t f o l i o hired Walter Cabot, the nephew of Paul Cabot. While much of the capital was managed internally, HMC teamed up with Cambridge Associates to identify som
23、e outside managers and ended up allocat- ing about 10% of the portfolio to various fi rms (none of which were still in place 10 years later). Cabot admitted that he found it diffi cult to fi nd consistently superior managers. Cabot was one of the early pioneers exploring less effi cient markets, and
24、 his observations echo the same line of thinking as Swensens when he joined Yale a number of years later. The younger Cabot remarked, “ I would like to deliver supe- rior results for the account. How can I get them? I don t believe we can pick stocks and bonds in a fashion demonstrably to our benefi
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