The head of Harvard University's endowment said today she does not regret the Ivy League school's relatively low 11 percent allocation to publicly traded U.S. stocks during the stock market's long bull run.

"No regrets," said Jane Mendillo, president and chief executive officer of Harvard Management Co, which oversees the university's $33 billion endowment, when asked whether the endowment might have fared better if it had invested more simply in a 60-40 mix of stocks and bonds.

"We don't believe in having all of our eggs in one basket," Mendillo said when asked about the allocation and her decisions at the CNBC Institutional Investor Delivering Alpha conference.

Harvard has long pioneered investments in alternative assets, including private equity and other less liquid instruments.

Mendillo said last month she will step down from her position at the end of the year. The decision has fanned speculation that the university might have been unhappy with its recent investment performance.

She also said she would not put a lot of money in China's internet companies, but said that there are opportunities in China.

Data from researcher Charles Skorina show Harvard's endowment posted average annual returns of 1.7 percent in the five years ended June 30, 2013, lagging behind rivals Yale, Columbia and the University of Pennsylvania. New data have not been released.