Research Publications Archive

Decades of Data: United States 1900–2020

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The 2020 US edition of our annual report on the history of financial markets provides context for the range of returns investors can expect from equities, bonds, and cash; reveals the importance of various components of equity returns; examines the evidence for equity mean reversion; and reviews the relationship between initial valuations and subsequent returns for equities and bonds. It also analyzes the historic economic declines and sharp asset price movements that resulted from the COVID-19 pandemic in 2020.

Annual Review of Endowments: Fiscal Year 2020

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This report summarizes returns, investment policy, asset allocation, and related trends for 312 endowed institutions. Included are exhibits on asset class returns, performance attribution, risk analytics, policy portfolio benchmarking, and uncalled capital commitments. The analysis is broken down by size of assets under management and by institution type. The report also contains sections on investment manager structures, payout from the long-term investment portfolio, and investment office staffing and governance.

Brexit Update

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The historic milestone reached when the white smoke emerged from Brussels and London on 24 December 2020 represents the end of the beginning in the establishment of the new relationship between the UK and EU, rather than an end in itself. Nonetheless, with the lingering threat of a tumultuous no-deal exit now removed, the headwind that this represented to the performance of UK assets has now subsided.

College and University Investment Pool Returns: Fiscal Year 2020

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This report summarizes the results of our fiscal year college and university survey. Included are commentary and analysis of investment performance, asset allocation, and related trends for 159 colleges and universities. The report also summarizes peer data on topics such as investment policy, portfolio manager structures, spending, and investment office staffing and governance.

Playing Defense in a Low-Rate Environment

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Investors have predominantly relied on developed markets sovereign bonds for defense in balanced portfolios, but low rates have diminished their diversification characteristics. We find that a diversified basket of “defensive” assets has provided comparable diversification characteristics to developed markets sovereign bonds historically. While this basket may not solve all challenges associated with today’s low-rate environment, we view it as better equipped than developed markets sovereign bonds to defend balanced portfolios during future periods of equity market stress.

Review of Market Performance: Calendar Year 2020

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The onset of the COVID-19 pandemic caused steep declines in risk markets in first quarter 2020. Safe-haven assets, such as core sovereign bonds and gold, performed strongly during this period and have held on to much of their gains. Large-scale intervention by both monetary and fiscal authorities eventually put a floor under risk markets, driving rapid recoveries and pushing equity markets to new highs.