Harvard endowment

Harvard endowment policy portfolio (HMC, FY2013 target mix)

Harvard Management Company (HMC) board and management team; not a single author · Policy-portfolio benchmark used by HMC for many years; table used here published September 2013 (fiscal year ended 30 June 2013)

Live account on this site. This portfolio is also tracked here with a virtual $100,000 since 21.10.2026. Live account on this site →

Where it stands today

Data through 2026-09. Updated every month.

Since January+14.2 %

Last 12 months+16.5 %

Last 5 years, per year+7.4 %

Now below the peak−1.8 %

Place by 12 months3 / 60

Our calculation, 1984-02 – 2026-09

Per year9.6 %

Real (after inflation)6.6 %

Volatility11.3 %

Worst drop−43.0 %

Worst year−30.9 % (2008)

Best year33.6 %

Worst 12 months−39.1 %

Positive years80 %

5 % of this history is calculated with stand-ins for asset classes that did not exist yet (see “How we model it” and the page about data). Without stand-ins the history starts in 2000.

Growth of $10,000

Harvard endowment: $495,849S&P 500: $1,163,109

Where it came from

Harvard Management Company was set up in 1974 to run Harvard University's endowment. HMC's own 2013 report says its sole focus for nearly 40 years has been the endowment, and describes an early move into venture capital and private equity in the 1970s and 1980s, timberland and natural resources in the 1990s and 2000s, and absolute return (hedge-fund-like) strategies and focused public-market strategies in the 2000s.

The tool at the centre of HMC's process is the 'Policy Portfolio': a theoretical target mix of asset classes that the HMC board and management set each year, based on expected return, volatility and correlation of each class and the University's risk profile. It does two jobs: a guide to the real allocation and a benchmark against which active management is judged. HMC's 2009 report shows how the target mix changed over time: in fiscal 1995 it was about 70% equities (38% domestic, 15% foreign, 5% emerging, 12% private equity), 22% fixed income and a negative 5% cash position (i.e. leverage); by 2005 equities were 43% with 12% absolute return and 23% real assets.

Leadership changed several times. Jack Meyer ran HMC for roughly 15 years until 2005 (he left to found Convexity Capital); Mohamed El-Erian was CEO 2005-2007; Jane Mendillo returned as CEO in July 2008, just before the financial crisis, after running the Wellesley College investment office and earlier working at HMC for about 15 years. In FY2009 the endowment lost 27.3% against a policy-portfolio benchmark return of -25.2%, and HMC itself blamed aggressive commitments to illiquid assets and too little liquidity. Its September 2009 report said the policy model was being 're-engineered'.

After the crisis HMC changed the target mix: per its 2013 report, since 2008 it added to equities, removed the negative cash allocation, cut fixed income after a 20-year bond bull market, and swapped part of public commodities for natural resources (timber, agriculture). The FY2013 policy mix (the one used on this site) is 49% equities (11% domestic, 11% foreign, 11% emerging, 16% private equity), 15% absolute return, 25% real assets, 9% fixed income, 2% high yield, 0% cash.

Later changes: Stephen Blyth, Mendillo's successor, modified the policy-portfolio model in 2015 and then left; Narv Narvekar (ex-Columbia endowment) arrived in December 2016 and announced on 25 January 2017 a move to a 'generalist' process with total-portfolio risk in place of asset-class silos, cutting the staff of about 230 roughly in half. HMC also stopped publishing its internal benchmarks from 2017, so no later policy table is public. This is why the FY2013 table is the last clean published set of policy weights that we found.

What is in it

Domestic equity	11%	FY2013 policy; FY2008 was 12%
Foreign equity	11%	FY2008: 12%
Emerging markets equity	11%	FY2008: 10%
Private equity (incl. venture capital)	16%	FY2008: 11%
Absolute return (hedge funds)	15%	FY2008: 18%
Public commodities	2%	FY2008: 8%
Natural resources (timber, agriculture, energy)	13%	FY2008: 9%
Real estate	10%	FY2008: 9%
Domestic bonds	4%	FY2008: 5%
Foreign bonds	2%	FY2008: 3%
Inflation-indexed bonds	3%	FY2008: 7%
High yield	2%	FY2008: 1%
Cash	0%	FY2008: -5% (leverage)

Source of the shares: Harvard Management Company Endowment Report, September 2013, p.2 'Purpose of the Policy Portfolio Benchmark' table — alumni.harvard.edu. The HMC report prints a two-column table (2008 and 2013 policy portfolio) that sums to 100% in both years. The table is an image inside the PDF; weights were read from it directly.

How we model it

US large companies (S&P 500)	16%
US small companies	16%
Commodities	15%
Developed markets outside the US	11%
Emerging markets	11%
Real estate (REITs)	10%
Short-term government bonds	10%
US bond market (aggregate)	6%
Inflation-protected bonds (TIPS)	3%
Corporate bonds	2%

Domestic equity 11% -> us_large; foreign equity 11% -> intl_dev; emerging 11% -> em; real estate 10% -> reit; public commodities 2% plus natural resources 13% -> commodities (15%); domestic and foreign bonds 4%+2% -> bond_agg; inflation-indexed 3% -> tips; high yield 2% -> bond_corp. Private equity 16% is replaced by public small-cap stocks (us_small 16%), the usual public stand-in for a leveraged, small-company, illiquid exposure. Absolute return 15% is replaced by a mix of one-third equity beta and two-thirds low-risk: us_large +5% and bond_short 10% (a rough hedge-fund-index stand-in; hedge funds typically hold partial equity beta). These substitutions change the risk and return: the real endowment held illiquid, manager-selected, leveraged and unlisted assets whose returns, fees and valuation smoothing cannot be bought in public index funds, so results of our proxy are NOT comparable to Harvard's reported endowment returns.

For a euro investor

The same portfolio bought with euros, without currency hedging: monthly returns converted at the end-of-month rate (German mark before 1999), inflation of the euro area. History in euros from 1984-02 to 2026-09.

Per year in euros8.3 %

After euro inflation6.0 %

Worst drop in euros−37.8 %

Worst year in euros−26.9 % (2008)

Safe withdrawal, 30 years, dollars6.91 % (1987-09)

Safe withdrawal, 30 years, euros5.08 % (1985-03)

The largest first-year withdrawal, then growing with inflation, that lasted 30 years from every monthly start. Test withdrawals for this portfolio →

How to build it with European funds

Examples of UCITS funds sold in the EU for each part of the portfolio. They track similar markets, not exactly the indices of our calculation.

Part	Share	Example funds (ISIN)
US large companies (S&P 500)	16%	iShares Core S&P 500 UCITS ETF USD (Acc) `IE00B5BMR087` Vanguard S&P 500 UCITS ETF (USD) Distributing `IE00B3XXRP09`
US small companies	16%	SPDR Russell 2000 U.S. Small Cap UCITS ETF `IE00BJ38QD84` iShares MSCI USA Small Cap ESG Enhanced CTB UCITS ETF USD (Acc) `IE00B3VWM098`
Commodities	15%	iShares Diversified Commodity Swap UCITS ETF `IE00BDFL4P12`
Developed markets outside the US (closest match)	11%	iShares Core MSCI Europe UCITS ETF EUR (Acc) `IE00B4K48X80` iShares Core MSCI Japan IMI UCITS ETF `IE00B4L5YX21`
Emerging markets	11%	iShares Core MSCI Emerging Markets IMI UCITS ETF (Acc) `IE00BKM4GZ66`
Real estate (REITs)	10%	iShares US Property Yield UCITS ETF `IE00B1FZSF77` iShares Developed Markets Property Yield UCITS ETF `IE00B1FZS350`
Short-term government bonds	10%	iShares USD Treasury Bond 1-3yr UCITS ETF (Dist) `IE00B14X4S71` iShares Euro Government Bond 1-3yr UCITS ETF (Dist) `IE00B14X4Q57`
US bond market (aggregate) (closest match)	6%	iShares Core Global Aggregate Bond UCITS ETF EUR Hedged (Acc) `IE00BDBRDM35` iShares Core Global Aggregate Bond UCITS ETF USD (Dist) `IE00B3F81409`
Inflation-protected bonds (TIPS)	3%	iShares USD TIPS UCITS ETF USD (Acc) `IE00B1FZSC47`
Corporate bonds	2%	iShares USD Corporate Bond UCITS ETF (Dist) `IE0032895942`

These are examples, not recommendations. Check the fund's key information document, costs and taxes with your broker before buying. Names and ISINs checked on justETF on 4 November 2026; Udak receives nothing from these funds.

The idea

A very long horizon (the University is perpetual) and no near-term need to sell lets the endowment hold a large share of illiquid, higher-expected-return assets (private equity, natural resources, hedge funds) and little in bonds, aiming at growth, enough liquidity and controlled risk (the three objectives named in the 2013 report).

How people buy it

The real portfolio is run by internal and external managers, with direct timber and farmland, private equity and venture funds, and external hedge funds. Individuals cannot replicate it; closest public proxies are broad global equity ETFs, REIT funds, commodity funds, small-cap funds and a short-bond fund.

Rebalancing as published

The board and management review the policy portfolio every year; the actual portfolio drifts around it because illiquid assets cannot be rebalanced quickly. HMC measures its active management as the gap versus the policy portfolio.

Variants

FY1995 policy: domestic equity 38%, foreign 15%, emerging 5%, private equity 12%, absolute return 0%, commodities 6%, real estate 7%, domestic bonds 15%, foreign bonds 5%, high yield 2%, inflation-indexed 0%, cash -5% (HMC FY2009 report).
FY2005 policy: 15/10/5/13, absolute return 12, commodities 13, real estate 10, bonds 11/5/5/6, cash -5 (HMC FY2009 report).
Table in the FY2009 report labelled '2010': 11/11/11/13, absolute return 16, commodities 14, real estate 9, bonds 4/2/2/5, cash +2 (as printed; probably the planned target for FY2010).
FY2008 policy (from the 2013 report): 12/12/10/11, absolute return 18, commodities 8, natural resources 9, real estate 9, bonds 5/3/7, high yield 1, cash -5.

Criticism

Harvard's own 2009 report admitted the portfolio entered the 2008 crisis with aggressive commitments to illiquid classes and too little ready liquidity, and that its internally managed bond portfolio held structured-credit securities hit by the crash.
Press commentary (Harvard Magazine, 2017) noted HMC's 10-year return of 5.7% was below its roughly 8% target at the time of the Narvekar overhaul, and Narvekar scrapped the asset-class-silo model.
The policy mix cannot be copied by individual investors: private equity, hedge funds and natural resources carry high fees, lockups and valuation smoothing; the HMC benchmark itself uses private-asset benchmarks that are not investable.
HMC stopped disclosing internal benchmarks in 2017, so the model cannot be tracked beyond FY2016.

Through the eras

Era	Dates	Total	Per year	Worst drop	S&P 500
Black Monday	1987-08 – 1987-12	−15.1 %	—	−19.4 %	−21.8 %
Savings-and-loan crisis and 1990 recession	1990-07 – 1991-03	+5.9 %	—	−7.2 %	+7.4 %
1994 bond market massacre	1994-02 – 1994-12	−2.2 %	—	−4.7 %	−3.2 %
Asian and Russian financial crises	1997-07 – 1998-10	−2.2 %	−1.6 %	−16.3 %	+22.4 %
Dot-com bubble and crash	2000-03 – 2002-10	−8.4 %	−3.2 %	−15.1 %	−37.2 %
Recovery and housing boom	2002-11 – 2007-09	+143.1 %	+19.8 %	−4.0 %	+97.0 %
Global financial crisis	2007-10 – 2009-03	−36.1 %	−25.8 %	−43.0 %	−44.7 %
The decade after the crisis	2009-04 – 2019-12	+196.2 %	+10.6 %	−16.9 %	+411.2 %
Fourth-quarter 2018 sell-off	2018-09 – 2018-12	−12.2 %	—	−12.2 %	−14.4 %
Covid crash and stimulus boom	2020-02 – 2021-12	+34.9 %	+16.9 %	−19.6 %	+53.6 %
Inflation shock and rate hikes	2022-01 – 2022-12	−12.4 %	−12.4 %	−16.8 %	−19.9 %

Calendar years

Any N-year period

Any N-year period	Worst	10 % worse than	Median	10 % better than	Best
1 y (501)	−39.1 %	−4.2 %	+11.5 %	+23.4 %	+54.3 %
3 y (477)	−8.9 %	+2.1 %	+9.6 %	+16.0 %	+25.1 %
5 y (453)	+0.4 %	+4.5 %	+9.1 %	+13.7 %	+20.5 %
10 y (393)	+4.3 %	+5.7 %	+9.5 %	+11.6 %	+13.3 %
15 y (333)	+5.0 %	+6.8 %	+9.2 %	+11.6 %	+12.5 %
20 y (273)	+6.1 %	+7.4 %	+9.1 %	+11.3 %	+12.3 %
30 y (153)	+7.9 %	+8.4 %	+9.0 %	+10.0 %	+10.8 %

How it behaved in history

2008-2009 financial crisis. The endowment fell 27.3% in FY2009, slightly worse than the policy portfolio (-25.2%) and much worse than a 60/40 portfolio (-13.5%), because the target mix itself was equity- and illiquid-heavy and the real portfolio was less liquid than the policy. piketty.pse.ens.fr
2009-2013 recovery. HMC cut bonds and the negative cash position and raised equities; policy portfolio beat in FY2013 by 2.2 points. alumni.harvard.edu
2017 overhaul. Move from asset-class silos to generalist, total-portfolio risk management, staff cut roughly in half, internal benchmarks no longer published. www.harvardmagazine.com

Published results (by others)

Endowment return versus policy-portfolio benchmark in the 2008-09 crisis year (FY2009 (July 2008-June 2009)): -27.3% versus -25.2% benchmark; 60/40 stock/bond portfolio -13.5% piketty.pse.ens.fr
Longer-term returns reported at the end of FY2009 (10 years to June 2009): 8.9% annualized versus 4.5% policy portfolio and 1.4% for a 60/40 portfolio piketty.pse.ens.fr
Endowment value fell (FY2009): endowment value $26.0 billion at 30 June 2009 piketty.pse.ens.fr
Recovery year (FY2013): 11.3% versus 9.1% policy benchmark; value $32.7 billion alumni.harvard.edu
Long-run annualized returns reported by HMC (to June 2013): 10 years 9.4% (benchmark 7.2%); 20 years 12.0% (benchmark 9.1%) alumni.harvard.edu
Flat year in the euro crisis (FY2012): -0.05% versus -1.03% policy benchmark; value $30.7 billion ciperchile.cl

What we could not verify

The FY2013 weights are an image in the PDF and were read visually; they sum to 100 in both columns, which supports the reading.
The table labelled 2010 in the FY2009 report is probably a planned target; its exact status is not stated.
Meyer, El-Erian, Mendillo and Blyth dates come from secondary press summaries (Institutional Investor, Harvard Magazine, Boston Globe), not from HMC reports; Meyer's exact start year (often given as 1990) was not confirmed.
No source for how HMC's absolute-return book was split between equity beta and low-risk assets; our split is an assumption.
The 1974 founding date of HMC is from general knowledge and was not verified in this pass.

Sources

alumni.harvard.edu https://alumni.harvard.edu/sites/default/files/page/files/hmc-report_2013.pdf
piketty.pse.ens.fr http://piketty.pse.ens.fr/files/capital21c/xls/RawDataFiles/WealthReportsEtc/USUniversities/Harvard/Harvard2009EndowmentReport.pdf
ciperchile.cl https://ciperchile.cl/pdfs/03-2013/harvard/Final_Annual_Report_2012.pdf
www.harvardmagazine.com https://www.harvardmagazine.com/2017/02/endowment-overhaul
www.institutionalinvestor.com https://www.institutionalinvestor.com/article/b14zbj82sl9hsy/jane-mendillo-joins-the-line-of-former-harvard-endowment-ceos
www.bostonglobe.com https://www.bostonglobe.com/business/2017/01/25/harvard-endowment-will-cut-half-its-employees/WKd823v2H218NEFiuGhzeK/story.html

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Calculated on historical data. Past results do not predict the future. Models before the 1990s use stand-ins for classes that had no index yet; fees, taxes and fund costs are not included. This is mathematics, not an investment recommendation.