(September 25, 2012) – It took months of digging through annual reports and IRS filings, but Charles Skorina accomplished his mission: a head-to-head ranking of the major corporate and non-profit funds’ investment performance over the last five years.
Skorina, founder of an executive search and research firm, went beyond absolute returns. He culled the data directly from the filings of the ten largest funds in the corporate, public, endowment, and private foundation spaces. Then, he added in the five biggest public funds in Canada because, he said, “we think there are interesting things going on up in the Great White North.”
From the raw data, Skorina calculated standard deviations and Sharpe ratios to get a sense of each fund’s risk-adjusted performance. Finally, a list emerged: who’s on top for returns, who’s a winning risk manager, who beat the market, and who didn’t.
As a benchmark, Skorina used a simple 60/40 equities-to-bonds index based on the S&P 500 and Barclay’s aggregate bond indexes.
Funds close their books at various times, and comparing returns from different periods—particularly for equity-heavy portfolios—could skew the results. Most endowments and public pensions end their fiscal year June 30th, whereas December 30th is common among corporates. Take the aggregate list with a grain of salt; the lists divided by fiscal year are truly apples-to-apples comparisons.
So how does everyone stack up?
Five-Year Returns (2007 – 2011) – Overall
