Autumn Lecture 2020: Professor Elroy Dimson

A recording of this webinar is available for members on the IFoA's Virtual Learning Environment. Watch now.

Many individuals and institutions have a long-term focus, and invest funds for the benefit of future generations. Their strategy should reflect their long horizon. University endowments are one of the oldest classes of institutional investor, and I will present the first study of the management of these endowments over the very long term. Employing a 120-year record of the approach followed by 12 major US universities, I will examine their preferences for risky assets, document their big strategic moves into equities and later into alternatives, analyse how they invested around crisis periods, and consider the extent to which they exploited their long-horizon advantage. I will show that, on average, endowments have exhibited a countercyclical investment pattern, particularly increasing their allocation to equities after the onset of a crisis. The research is joint with my Cambridge colleagues, Dr David Chambers and Dr Chara Kaffe, and is forthcoming in Financial Analysts Journal.