中文摘要
我们研究支持慈善部门的美国私人基金会的资产配置与投资业绩。大型基金会因较早进入私募股权与风险投资基金, 在 2008 年之前获得了正的风险调整后收益, 但此后表现不佳。中位数基金会的业绩落后超过 100 个基点。股票持仓集中的基金会获得更高收益, 但承担更多风险。受 5% 最低支出规则施加的约束以及宽松货币政策的影响, 基金会增加风险承担并追逐收益。长期来看, 保守的资产配置会降低实际财富, 从而减少慈善捐赠。
Abstract
We study the asset allocation and investment performance of U.S. private foundations that support the charitable sector. Large foundations generated positive risk‐adjusted returns before 2008, driven by early access to private equity and venture capital funds, but have underperformed since. The median foundation underperforms by more than 100 bps. Foundations with concentrated stock holdings achieve higher returns but assume more risk. Due to the constraints imposed by the 5% minimum spending rule and accommodating monetary policy, foundations increase risk‐taking and reach for yield. Over time, a conservative asset allocation decreases real wealth, reducing charitable giving.