Ron Elmer over at Investor Cookbooks has an interesting post on how well College endowment funds and public pension funds have performed relative to a passive fund comprising fixed income and stocks. The bottom line is that you could beat the return of the average endowment with a simple blend of Vanguard index funds.
Now while it is always possible to look back and say "you should have done x and not y", Ron's passive fund makes a lot of sense. It's very diversified and it's super low cost and the reason why pension funds and endowments don't do so well is because of fees.
Most endowments and pension funds employ teams of people to pick investment managers who then pick fund managers who then pick securities. Each layer charges a fee. All these layers of management beg the question - wouldn't it just be easier to employ one manager who indexes the entire portfolio in stocks and bonds and be done with it?