Work

Do (Some) University Endowments Earn Alpha?

Year: 2013

Type: article

Abstract: The authors analyzed the returns earned by U.S. educational endowments using style attribution models. For the average endowment, models with only public stock and bond benchmarks explain virtually all the time-series variation in returns, yield no alpha, and generate sensible factor loadings. Elite institutions perform better than public stock and bond benchmarks because of large allocations to alternative investments. The authors found no evidence that manager selection, market timing, and tactical asset allocation generate alpha.

Source: Financial Analysts Journal

DOI: 10.2469/faj.v69.n5.4

Authors: Brad M. Barber, Guojun Wang

Institutions: University of California, Davis, Tongji University, Shanghai Normal University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2996063186

FWCI: 9.329

Cites: 30

Cited by: 61

Related to: 10