Investment beliefs of endowments. (18th January 2018)

• Record Type: Journal Article
• Authors: Ang, Andrew; Ayala, Andrés; Goetzmann, William N.
• Is Part Of: European financial management. Volume 24:Number 1(2018:Jan.)
• Page Start: 3
• Page End: 33
• Publication Date: 2018-01-18
• Subjects: alternative assets -- asset allocation -- hedge funds -- portfolio choice -- private equity; Finance -- European Union countries -- Periodicals; International finance -- Periodicals; Corporations -- European Union countries -- Finance -- Periodicals; 332.094
• DOI: 10.1111/eufm.12149
• Languages: English
• ISSNs: 1354-7798

Abstract

Abstract: United States university and college endowments now hold close to one‐third of their portfolios in private equity and hedge funds. We estimate the implied beliefs of endowments on these alternative assets' returns relative to equities and bonds. At the end of 2012, the typical endowment believes that its private equity investments will outperform a portfolio of conventional assets by 3.9% per year, and hedge funds will outperform by 0.7% per year. Taking into account the implied equity exposures in alternative asset positions, the effective equity holding of endowments is approximately 60%.