A recent WSJ article is highlighting once again the losses incurred at university endowments, especially those at Harvard. The Harvard endowment is reported to have lost "at least" 22 percent in the first four months of the school's recent fiscal year. This equates to approximately an $8 billion loss for the nearly $37 billion portfolio. Unfortunately, the pain may get worse as the current value does not appear to consider real estate or private equity investments, causing the university to start planning for a total decline of 30 percent for the fiscal year. While alternative investments have helped to shelter endowments at Harvard, Yale, and elsewhere from past sell-offs in the general market, this time the recent credit crisis has affect nearly every asset class. This has made the losses on relatively illiquid assets, such as real estate and private equity, potentially quite severe as portfolios are forced to sell such assets at deep discounts. Private equity investments with Harvard are reported to only be receiving bids of 50 cents on the dollar. Diversification and investing in alternative investments has its benefits, but it can also introduce new risk to manage, such as liquidity risk. Certainly a lesson we all need to be taught, even if we have to learn it the hard way.