和禀赋模型

Q3 Social Sciences
M. Karris
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引用次数: 0

摘要

Alpha,或优于基准的表现,可以在投资组合中以多种方式产生。它可以通过挑选顶级对冲基金经理,或者通过另类资产获取非流动性溢价来创造。风险资本是长期投资者alpha的主要来源。阿尔法也可以通过积极的资产配置来实现,同时使用战术和战略的贝塔倾斜。对于顶级捐赠基金来说,这些和其他创新的投资组合决策创造了巨大的长期阿尔法,而全球均衡的基准是70%的股票/30%的债券。由于资产配置在决定投资组合回报方面发挥着重要作用,因此比较贝塔(或指数基金)投资组合与复杂的机构投资组合在历史上的表现是很有趣的。我们比较了30年的表现:互联网泡沫达到顶峰前的10年(1988-1998财年),包括2000财年惊人增长在内的10年(1998-2008财年),以及最近的10年(2008-2018财年)。毫无疑问,捐赠模式将继续帮助大学履行其使命,并使公共养老金能够履行其退休义务。然而,对于一些投资者来说,过度分散投资可能会稀释基金经理的alpha,导致其表现类似于beta投资组合。鉴于其复杂性,捐赠模型不是一个放之四海而皆准的策略,它最适合拥有大量资源的大型投资团队。对于那些资源有限的机构来说,使用另类资产和贝塔系数的平衡可以达到两全其美的效果。例如,中等规模的投资者可能会更好地利用流动的核心资产和卫星替代资产来精简他们的投资组合。较小的投资者只能使用指数基金投资组合,仍然可以获得alpha。指数基金投资组合可能无法取代世界级的捐赠基金,但对于一些长期投资者来说,它可能是一种理想的投资解决方案。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Alpha, Beta and the Endowment Model
Alpha, or outperformance of a benchmark, can be generated in many ways within a portfolio. It can be created by picking the top hedge fund managers, or by capturing the illiquidity premium via alternative assets. Venture capital is a major source of alpha for long-term investors. Alpha can also be achieved by active asset allocation using both tactical and strategic beta tilts. For the top endowments, these and other innovative portfolio decisions have created great, long-term alpha versus a global balanced benchmark with 70% stocks/30% bonds. Since asset allocation plays a large role in determining portfolio returns, it is interesting to compare how beta (or index fund) portfolios have compared historically versus sophisticated institutional portfolios. We compare 3 decades of performance: the 10 year period before the Internet Bubble’s peak (FY1988-1998), the 10 years including fiscal year 2000’s spectacular gains (FY1998-2008), and a more recent period (FY2008-2018). The Endowment Model will no doubt continue to help colleges to fulfill their missions, and enable public pensions to meet their retirement obligations. However, for some investors, over-diversification can dilute manager alpha and lead to performance that is similar to beta portfolios. Given its complexity, the Endowment Model is not a one-size-fits-all strategy, and is best suited for larger investment teams with considerable resources. For those institutions constrained by limited resources, using a balance of alternative assets and beta could achieve the best of both worlds. For instance, mid-sized investors might be better served by streamlining their portfolios with a liquid beta core, coupled with satellite alternative assets. And smaller investors could only use index fund portfolios and still achieve alpha. An index fund portfolio may be no substitute for a world-class endowment fund, but it could be an ideal investment solution for some long-term investors.
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来源期刊
Social Security Bulletin
Social Security Bulletin Social Sciences-Social Sciences (miscellaneous)
CiteScore
0.70
自引率
0.00%
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0
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