David Swensen left a lucrative Wall Street career in 1985 to manage the Yale endowment. He introduced a new investment-management philosophy and literally wrote the book describing the technique. The Swensen model worked spectacularly at Yale and at many other educational institutions. But just as the technique is now widely advertised as the optimal way for all portfolios to invest, there are good reasons to believe that it will be less effective in the future. Individual investors should especially be cautious.