Financial Analysts Journal· VOL69,NO. 5· September/October 2013

大学捐赠基金赚取ALPHA吗？

作者：Brad M. Barber and Guojun Wang

摘要：作者通过风格归因模型分析了美国教育捐赠基金的收益来源。对于一般的捐赠基金，仅包含公开股票和债券两类资产的模型就可以解释所有时间序列上投资收益的变动，且因子载荷显著，进而不存在由Alpha引起的额外收益。精英型机构的投资绩效要好于仅靠公开股票和债券组成的基准组合的投资业绩，这是大量配置另类资产的结果。因此，作者认为并没有证据能够表明教育基金管理过程中经理人的选择、市场择时和战术资产配置为基金投资带来了Alpha。

Do (Some) University Endowments Earn Alpha?

Brad M. Barber and Guojun Wang

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：

http://www.cfapubs.org/doi/pdf/10.2469/faj.v69.n5.4

翻译：王冰伦