Although an estimated US$6 billion is invested annually in our planet’s biological diversity, little research has been conducted on which conservation treatments work best or provide best value for money. Conserving biodiversity efficiently depends on identifying conservation treatments which provide greatest return on investment. Where controlled experiments are not possible, panel econometric techniques can be used to determine the effectiveness of conservation treatments. A long-running Yellow-Eyed Penguin (Megadyptes antipodes) nest count in New Zealand presents a golden opportunity to compare the effectiveness and cost effectiveness of three commonly used conservation treatments—trapping of introduced predators, revegetation, and intensive management. Following ecological theory, we specify a density-dependent population growth rate. We control for year effects and site characteristics such as land cover, slope, and elevation. We confront the possibility of selection bias in treatment with site fixed effects and with an instrumental variable based on site accessibility. Of the three treatments analyzed, only intensive management is significantly correlated with increases in site-level penguin population growth rate. We estimate the marginal cost of providing yellow-eyed penguins through intensive management to be NZ$68,600 per nest.