TAILIEUCHUNG - 2011 The Yale Endowment

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 to 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 16 16 22 22 Return Spending in millions 1 1 Operating Budget Revenues 2 2 2 2 2 in millions Endowment Percentage Asset Allocation as of June 30 Absolute Return Domestic Equity Fixed Income Foreign Equity Private Equity Real Assets Cash 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 .

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