Do Endowments Add Value? Unclear.

/Do Endowments Add Value? Unclear.

Do Endowments Add Value? Unclear.

By | 2017-08-18T17:06:25+00:00 October 30th, 2013|Research Insights|4 Comments

Do (Some) University Endowments Earn Alpha?

  • Bence Toth, Enrico Scalas, Jurgen Huber and Michael Kirchler
  • A version of the paper can be found here.
  • Want a summary of academic papers with alpha? Check out our free Academic Alpha Database!


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.

Data Sources:


Alpha Highlight:

No love up in da club. After adjusting for benchmark exposures, there isn’t much significant alpha to be had.


The results are hypothetical results and are NOT an indicator of future results and do NOT represent returns that any investor actually attained. Indexes are unmanaged, do not reflect management or trading fees, and one cannot invest directly in an index. Additional information regarding the construction of these results is available upon request.

Markets seem really efficient…you don’t say…

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About the Author:

Wes Gray
After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes,, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.