Abstract

http://ssrn.com/abstract=981436
 
 

References (40)



 
 

Citations (3)



 


 



The Troves of Academe: Asset Allocation, Risk Budgeting, and the Investment Performance of University Endowment Funds


Keith C. Brown


University of Texas at Austin - Department of Finance

Cristian Ioan Tiu


SUNY at Buffalo; University of Texas at Austin - Department of Finance

Lorenzo Garlappi


University of British Columbia (UBC) - Sauder School of Business

August 8, 2007

McCombs Research Paper Series No. FIN-03-07

Abstract:     
In this paper we investigate the role of asset allocation in the performance of college and university endowment funds. Our analysis is based on a comprehensive dataset detailing the investment practice and performance of these institutional investors from 1984 to 2005. Despite their ability to implement relatively unrestricted investment strategies, and despite a wide heterogeneity in the asset allocation weights deployed, we find that the university endowments in our sample hold remarkably similar levels of asset allocation, or "passive" risk. We argue that this self-imposed passive risk budget is ultimately hurting the performance of funds that are less committed to active management. We test this hypothesis and find strong support in the data. After developing and calibrating a simple risk-budgeting model, we also document that the average endowment seems to have under-utilized its active management abilities in favor of a more passively oriented portfolio.

Number of Pages in PDF File: 58

Keywords: Endowment funds, Asset allocation, Return attribution, Investment performance

JEL Classification: G11, G23

working papers series





Download This Paper

Date posted: April 23, 2007 ; Last revised: July 14, 2008

Suggested Citation

Brown, Keith C. and Tiu, Cristian Ioan and Garlappi, Lorenzo, The Troves of Academe: Asset Allocation, Risk Budgeting, and the Investment Performance of University Endowment Funds (August 8, 2007). McCombs Research Paper Series No. FIN-03-07. Available at SSRN: http://ssrn.com/abstract=981436 or http://dx.doi.org/10.2139/ssrn.981436

Contact Information

Keith C. Brown (Contact Author)
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-471-6520 (Phone)
512-471-5073 (Fax)
Cristian Ioan Tiu
SUNY at Buffalo
Jacobs Management Center
Buffalo, NY 14222
United States
University of Texas at Austin - Department of Finance ( email )
Red McCombs School of Business
Austin, TX 78712
United States
512-225-1636 (Phone)
Lorenzo Garlappi
University of British Columbia (UBC) - Sauder School of Business ( email )
2053 Main Mall
Vancouver, BC V6T 1Z2
Canada
Feedback to SSRN


Paper statistics
Abstract Views: 4,646
Downloads: 1,472
Download Rank: 6,205
References:  40
Citations:  3

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo8 in 0.328 seconds