Asset allocation and portfolio performance: Evidence from university endowment funds

@inproceedings{Brown2010AssetAA,
  title={Asset allocation and portfolio performance: Evidence from university endowment funds},
  author={Keith Cates Brown and Lorenzo Garlappi and Cristian Ioan Tiu},
  year={2010}
}
We use a unique data set for university endowment funds to study the relationship between asset allocation decisions and the performance of multiple asset class portfolios. Our analysis shows that although endowments differ substantially in their capital commitments to various asset classes, the volatility and the associated policy portfolio returns are remarkably similar across the sample. Moreover, while the risk-adjusted performance of the average endowment is not reliably different from… CONTINUE READING
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