Do (Some) University Endowments Earn Alpha?
- Bence Toth, Enrico Scalas, Jurgen Huber and Michael Kirchler
- A version of the paper can be found here.
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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.
No love up in da club. After adjusting for benchmark exposures, there isn’t much significant alpha to be had.
Markets seem really efficient…you don’t say…
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