Financial Analyst Journal, Volume 69, Issue5, 2013

大学捐赠基金能赚到阿尔法吗？

作者：Brad M. Barber (University of California)

Guojun Wang (University of California)

摘要：作者采用风格归因模型分析了美国教育捐赠基金的收益。对于这些捐赠，只有公开发行的股票和债券基准的模型可以解释几乎所有的收益中基于时间序列的变化，这些模型具有合理的因子载荷但并无阿尔法。由于将资产大量分配给了另类投资，精英机构的表现要好于公开发行的股票和债券基准。作者发现没有证据表明经理人选择，市场择时和战术资产分配可以产生阿尔法。

Do (Some) University Endowments Earn Alpha?

Brad M. Barber (University of California), Guojun Wang (University of California)

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.

原文链接：https://www.cfapubs.org/doi/abs/10.2469/faj.v69.n5.4

翻译：秦秀婷