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

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