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To derive our empirical results, we obtain a sample of equity SRI funds from the Social Investment Forum for the period 1997-2005 and merge this sample with the CRSP Survivor Bias Free US Mutual Fund Database. Our results indicate that the SRI constraint does not reduce funds' before-fee performance, measured using the four-factor alpha of Carhart (1997). On the contrary, SRI funds outperform comparable conventional funds by a substantial 0.96% to 1.83% per year before expenses. We investigate whether differences in before-fee performance between SRI and conventional funds are due to differences in fund turnover, which has been documented. | 2011 The Yale Endowment Endowment Highlights Fiscal Year 2011 2010 2009 2008 2007 Market Value in millions 19 374.4 16 652.1 16 326.6 22 869.7 22 530.2 Return 21.9 8.9 -24.6 4.5 28.0 Spending in millions 986.8 1 108.4 1 175.2 849.9 684.0 Operating Budget Revenues 2 734.2 2 681.3 2 559.8 2 280.2 2 075.0 in millions Endowment Percentage 36.1 41.3 45.9 37.3 33.0 Asset Allocation as of June 30 Absolute Return 17.5 21.0 24.3 25.1 23.3 Domestic Equity 6.7 7.0 7.5 10.1 11.0 Fixed Income 3.9 4.0 4.0 4.0 4.0 Foreign Equity 9.0 9.9 9.8 15.2 14.1 Private Equity 35.1 30.3 24.3 20.2 18.7 Real Assets 28.9 27.5 32.0 29.3 27.1 Cash -1.1 0.4 -1.9 -3.9 1.9 Contents 1. Introduction 2 2. The Yale Endowment 4 3. Investment Policy 5 4. Spending Policy 18 5. Investment Performance 22 6. Management and Oversight 24 Front cover Window of Sterling Memorial Library east facade. Right Aerial view of Timothy Dwight .
