Alpha and Performance Efficiency of Ivy League Endowments: Evidence from Dynamic Exposures

23 Pages Posted: 12 Jan 2018 Last revised: 8 Jun 2018

See all articles by Apollon Fragkiskos

Apollon Fragkiskos

Brighthouse Financial

Sean Ryan

Markov Processes International

Michael Markov

Markov Processes International, Inc.

Date Written: January 8, 2018

Abstract

We analyze the investment returns of Ivy League endowments in the U.S. in order to evaluate their alpha generation abilities and determine performance efficiency. We find that, while some funds show superior manager selection capabilities when evaluated against both public and private asset classes and most funds show superior alpha generation abilities when evaluated against public asset classes they take on large risks to do so. When properly measured, such risks indicate that the alpha achieved is not high enough to result in noticeably different Sharpe ratios to a 60-40 portfolio.

Keywords: Ivy league, endowments, alpha, sharpe ratio, 60-40

JEL Classification: G11

Suggested Citation

Fragkiskos, Apollon and Ryan, Sean and Markov, Michael, Alpha and Performance Efficiency of Ivy League Endowments: Evidence from Dynamic Exposures (January 8, 2018). Available at SSRN: https://ssrn.com/abstract=3098198 or http://dx.doi.org/10.2139/ssrn.3098198

Apollon Fragkiskos (Contact Author)

Brighthouse Financial ( email )

11225 N Community House Rd
Charlotte, NC 28277
United States

HOME PAGE: http://https://www.brighthousefinancial.com/

Sean Ryan

Markov Processes International ( email )

25 Maple Street
Summit, NJ 07901
United States

Michael Markov

Markov Processes International, Inc. ( email )

475 Springfield Ave
Suite 401
Summit, NJ 07901
United States
9734493021 (Phone)

HOME PAGE: http://www.markovprocesses.com

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