Chasing Performance and Mean Reversion in Endowment Portfolios

Adapted for endowment and foundation boards from Chapter 10 of The Single Family Office by Richard C. Wilson.

A CIO I interviewed for the book had a point he made to every family he advised. Managers and strategies tend to revert to the mean. What is up the most is often what will be down next, and the other way around.

Committees know this in theory. In practice, the manager with the strongest three years gets the meeting.

The pattern

  1. A strategy has a great run.
  2. It shows up in every pitch and every peer report.
  3. Committees add to it near the peak.
  4. The strategy cools, and they redeem near the bottom.

The endowment buys high and sells low, one sensible-looking decision at a time.

A screen for "good manager, bad stretch"

  • Has the team stayed the same?
  • Has the process stayed the same?
  • Can they explain the weak period in plain terms?
  • Did their risk rules work as written?
  • Is the firm still disciplined on size?

Five yeses is worth a closer look. One or two noes usually means walk.

Rebalancing is the built-in fix

A written rebalancing policy forces the committee to trim what has run up and add to what has lagged, within set ranges. It takes the emotion out. Many endowments review ranges quarterly and act when an asset class drifts past its band.

Frequently asked questions

Doesn't momentum work sometimes?

It can over short periods. Endowments invest for decades, so long-run reversion matters more.

How long should we stay with a lagging manager?

Set a review period in advance, often three to five years for public markets, longer for private funds.

Who decides to redeem?

Usually staff or the OCIO recommends and the committee approves, per your policy.

Sources

  1. The Single Family Office, Chapter 10, Richard C. Wilson .

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