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

大學捐贈基金賺取ALPHA嗎？

作者：Brad M. Barber and Guojun Wang

摘要：作者通過風格歸因模型分析了美國教育捐贈基金的收益來源。對于一般的捐贈基金，僅包含公開股票和債券兩類資産的模型就可以解釋所有時間序列上投資收益的變動，且因子載荷顯著，進而不存在由Alpha引起的額外收益。精英型機構的投資績效要好于僅靠公開股票和債券組成的基準組合的投資業績，這是大量配置另類資産的結果。因此，作者認為并沒有證據能夠表明教育基金管理過程中經理人的選擇、市場擇時和戰術資産配置為基金投資帶來了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.

原文鍊接：

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

翻譯：王冰倫