Investment Returns and Distribution Policies

UNIVERSITY OF TECHNOLOGY SYDNEY
Finance Department
Research Seminars in Finance

Sandeep Dahiya

Paper Title: Investment Returns and Distribution Policies of Non-Profit Endowment Funds

Speaker: Sandeep Dahiya, Georgetown University

Time and Date: 09:00 - 10:00, Wednesday 2nd March 2022 (Australian Eastern Daylight Time)
 



Abstract: We present the first estimates of investment returns and distribution rates for U.S. non-profit endowments, based on a comprehensive sample of 35,755 organizations for 2009-2018. Endowments badly underperform market benchmarks. Holding a zero investment portfolio (long endowments and short 60-40 mix of U.S. equity and Treasury bond indexes) generates a mean -4.20% annual return. Regression estimates in four-factor models including U.S. stocks and bonds, global stocks, and hedge funds find statistically significant alphas of -0.39% annually. Smaller endowments have less negative alphas than larger funds, but all size classes significantly underperform. Distribution ratios are well below the funds’ long-run returns.

Moderator: Thomas Matthys, University of Technology Sydney

Date: Wednesday, 2nd March 2022
Time: 09:00 - 10:00 (Australian Eastern Daylight Time)
Venue: This is an online Zoom webinar.

Seminar protocols:

  • The webinar will run for 45 minutes, followed by a 15 minute Q&A session.
  • There will be a moderator for each seminar event, who will facilitate communication and resolve any technical issues.
  • Participants can use the chat facility or raise their had to ask questions during the presentation. The moderator will then alert the speaker at the appropriate time and either ask the questions raised or unmute the participant so they can ask the question directly to the presenter.

Co-ordinator: Kenny Phua

Enquiries: Ray Alonso

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Acknowledgement of Country

UTS acknowledges the Gadigal people of the Eora Nation, the Boorooberongal people of the Dharug Nation, the Bidiagal people and the Gamaygal people, upon whose ancestral lands our university stands. We would also like to pay respect to the Elders both past and present, acknowledging them as the traditional custodians of knowledge for these lands.