Yale University, the world's second-wealthiest school with a $20.8 billion endowment, said it can still beat market returns, known as generating alpha, as it seeks to stand out from other investors.

The university's investment office, run by David Swensen, said in an annual report that "alpha is not dead," and that it remains committed to allocating much of the portfolio to alternative assets such as private equity. Yale had a 12.5 percent return on investments in the year ended in June, beating the 11.3 percent average for foundations and endowments, according to Wilshire Associates.

"The endowment was able to generate alpha even as alternative assets became increasingly capitalized and competitive," the investment office said. "While alpha is not dead, opportunities to access it may not be available to all investors."