David Swensen of Yale has produced annual returns of 16.3 percent over 21 years.
Mr Swensen looked at 542 buy-out deals that were started and concluded during 1987-98.
Mr Swensen argues that diversification is a better form of risk control than liquidity.
Were the stockmarket to collapse, Mr Swensen believes half of the endowment would remain relatively healthy.
And recently, Swensen has become passionate about trying to teach individual investors how best to save for retirement.
The man behind that investment success is David Swensen, one of the most gifted investors in the world.
Swensen says investors should invest in market-based index funds, not absolute return strategies.
But most of these gains, Mr Swensen points out, came from heavy borrowing by buy-out firms seeking to multiply their private-equity bet.
In his book, Unconventional Success: A Fundamental Approach to Personal Investment, Swensen recommends with all assets that investors use passive index mutual funds.
Swensen says he could use automated software to help him balance the numbers each day, but that would take all the fun out of it.
David Swensen, the well-regarded CIO for Yale University and author of Unconventional Success, highlights co-investment as one of the characteristics of the best money managers.
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Not for nothing is Mr Swensen regarded as a private-equity genius.
As an investor, Mr Swensen has shunned his former product, corporate bonds, arguing that it is a market where the sellers know more than the buyers do.
If you want your investing to be based on advice from the brightest minds in investing, listen to Swensen and think twice about the promise of absolute return funds.
For instance, when analysts began to report that university endowments performed better with a focus on longer term asset classes (the David Swensen approach), fund allocations followed the learning.
Mr Swensen argues that the deals Yale invested in produced better results than the rest of those he studied because his institution took a different approach to private equity.
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