Do (Some) University Endowments Earn Alpha?

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

working papers series