Do (Some) University Endowments Earn Alpha?
62 Pages Posted: 15 Dec 2011 Last revised: 7 May 2013
Date Written: May 7, 2013
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.
Keywords: University Endowments, Institutional Investors, Private Equity, Hedge Funds
JEL Classification: G2, G23
Suggested Citation: Suggested Citation