Harvard has chased all sorts of exotic strategies, including private equity and hedge funds and yet - to quote the above article:
"...if Harvard had passively invested in a standard mix of 60 percent stocks and 40 percent bonds, it would have gotten a higher rate of return — 8.9 percent over the past five years, versus 5.9 percent with its active in-house management, according to The Boston Globe."
What's worse, is that Harvard was paying its money managers millions to come up with these strategies. While Harvard is clearly one of the premier academic institutions in the world, this status does not give it the ability to beat the market. Other institutions (I'm looking at you NC Pension Fund) would do well to learn from this.