Abstract

http://ssrn.com/abstract=1972317
 
 

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Do (Some) University Endowments Earn Alpha?


Brad M. Barber


University of California, Davis

Guojun Wang


University of California, Davis

May 7, 2013


Abstract:     
We analyze the returns earned by US educational endowments using style attribution models. For the average endowment, models with only public stock and bond benchmarks explain virtually all of the time-series variation in returns, yield no alpha, and generate sensible factor loadings. Elite institutions perform well relative to public stock and bond benchmarks because of large allocations to alternative investments. We find no evidence that manager selection, market timing, and tactical asset allocation generate alpha.

Number of Pages in PDF File: 62

Keywords: University Endowments, Institutional Investors, Private Equity, Hedge Funds

JEL Classification: G2, G23

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Date posted: December 15, 2011 ; Last revised: May 7, 2013

Suggested Citation

Barber, Brad M. and Wang, Guojun, Do (Some) University Endowments Earn Alpha? (May 7, 2013). Available at SSRN: http://ssrn.com/abstract=1972317 or http://dx.doi.org/10.2139/ssrn.1972317

Contact Information

Brad M. Barber (Contact Author)
University of California, Davis ( email )
Graduate School of Management
One Shields Avenue
Davis, CA 95616
United States
530-752-0512 (Phone)
530-752-2924 (Fax)
Guojun Wang
University of California, Davis ( email )
Department of Economics
One Shields Avenue
Davis, CA 95616
United States
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