Investment Beliefs of Endowments

31 Pages Posted: 19 Jan 2018

See all articles by Andrew Ang

Andrew Ang

BlackRock, Inc

Andres Ayala

William N. Goetzmann

Yale School of Management - International Center for Finance; National Bureau of Economic Research (NBER)

Multiple version iconThere are 3 versions of this paper

Date Written: January 2018


United States university and college endowments now hold close to one‐third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments on these alternative assets’ returns relative to equities and bonds. At the end of 2012, the typical endowment believes that its private equity investments will outperform a portfolio of conventional assets by 3.9% per year, and hedge funds will outperform by 0.7% per year. Taking into account the implied equity exposures in alternative asset positions, the effective equity holding of endowments is approximately 60%.

Keywords: alternative assets, asset allocation, hedge funds, portfolio choice, private equity

Suggested Citation

Ang, Andrew and Ayala, Andres and Goetzmann, William N., Investment Beliefs of Endowments (January 2018). European Financial Management, Vol. 24, Issue 1, pp. 3-33, 2018, Available at SSRN: or

Andrew Ang (Contact Author)

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

Andres Ayala ( email )

Seattle, WA 98144
United States

William N. Goetzmann

Yale School of Management - International Center for Finance ( email )

165 Whitney Ave.
P.O. Box 208200
New Haven, CT 06520-8200
United States
203-432-5950 (Phone)
203-436-9252 (Fax)


National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
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