RT Journal Article
SR Electronic
T1 The Effects of Spending Rules and Asset Allocation on Nonprofit Endowments
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 81
OP 106
DO 10.3905/jpm.2022.1.431
VO 49
IS 1
A1 Zachery Halem
A1 Andrew W. Lo
A1 Egor Matveyev
A1 Sarah Quraishi
YR 2022
UL https://pm-research.com/content/49/1/81.abstract
AB The long-run impact and implications of an endowment’s spending policy and asset-allocation decisions are examined. Using a dynamic model, the authors explore how different endowment spending rules (SRs) influence the dynamics of an endowment’s size and future spending. They find that different parameters within each SR have significant long-term impact on wealth accumulation and spending capacity. Using Merton’s (1993) endowment model and compiled asset-allocation data, they estimate the intertemporal preferences and risk aversion of several major endowments and find significant variation across endowments in their propensity to increase portfolio risk in response to increased spending needs.