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dc.contributor.authorPham, Ly
dc.date.accessioned2018-11-06T15:22:15Z
dc.date.available2018-11-06T15:22:15Z
dc.date.issued2018-05-19
dc.identifier.urihttps://repository.tcu.edu/handle/116099117/22449
dc.description.abstractThe purpose of this thesis is to assess the performance of endowments which are well known for the endowment model of investing that places a huge emphasis on alternative investments. Several studies have shown not as good performance from endowments as their portfolio allocation to alternatives increases over time. I looked at endowment performance relative to the 60% stock/40% bond portfolio benchmark and endowment target return. I used National Association of College and University Business Officers (NACUBO)?s Commonfund Study of Endowments to collect endowment data and other indices to get data for different asset classes in endowment portfolio. From the results collected, I built a portfolio optimization model based on Markowitz modern portfolio theory. The overall results show that endowments cannot generate as good performance with increasing allocation to alternatives as seen before 2000. This coming period with potential changes in monetary policy will be a test for endowments, so whether their alternative investments can generate low correlation to the market and protect them from the downside risk.
dc.subjectFinance
dc.subjectEndowment
dc.subjectAlternative Investments
dc.titleENDOWMENT PERFORMANCE AND EXPOSURE TO ALTERNATIVE INVESTMENTSen_US
etd.degree.departmentFinance


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