In this paper we investigate the role of asset allocation in the performance of college and university endowment funds. Our analysis is based on a comprehensive dataset detailing the investment practice and performance of these institutional investors from 1984 to 2005. Despite their ability to...

The investment decision confronting managers of multi-asset class portfolios can be characterized in terms of the passive (i.e., benchmark or policy) and active (i.e., market timing and security selection) strategies they adopt. In this paper, we investigate whether managers select the...

Several recent studies establish that more highly concentrated portfolios produce superior risk-adjusted returns. The untested premise of this literature is that it is the most skillful managers who hold the most concentrated portfolios. In this study, we formally examine the implicit assertion...