The authors examine the underlying factors that drove the outsized performance of the Yale University Endowment over the past two decades. With the aid of the Endowment's published asset allocation targets and their own "Proxy Portfolios" designed to replicate the Endowment's exposure to common...

In this article the authors present an applied portfolio factor model that illuminates the risk and return drivers of broad hedge fund strategies, from the opportunity-cost perspective of a portfolio investor who owns traditional assets. The authors demonstrate how to interpret and use key...

The author develops a methodology to estimate forward-looking long-term active and passive investment returns for major publicly traded asset classes from the perspective of a taxable investor who consumes triple net returns — after all expenses, taxes, and inflation. The author compares...

Taxes introduce certain complexities, requiring proper adjustments to return and risk parameters. The author offers a refined set of after-tax return and risk equations for use in practice and validates them with a stochastic future value cash flow model. The refined after-tax return and risk...

The authors introduce a novel approach of attributing factor risk to a time series of reported private asset returns. Their factor-optimized lagged-beta (FOLB) method uncovers more latent factor risk than standard unsmoothing techniques, offering a more precise attribution of factor betas and...