Publikation: The total benefit of alternative assets to pension fund portfolios
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2016
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Journal of Financial Markets. 2016, 31, pp. 25-42. ISSN 1386-4181. eISSN 1878-576X. Available under: doi: 10.1016/j.finmar.2016.06.002
Zusammenfassung
Pension funds only quite recently have explored alternative assets, prodded by financial crises that devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefit derived from diversification, addition of positive skewness, and the elimination of left tails in returns. During 1994–2012, adding portfolios of hedge funds produced significantly higher total benefits than adding real estate, commodities, foreign equities, mutual funds, funds of funds, as well as some counter cyclical and non-cyclical assets. Conditioning on past total benefits improves the out-of-sample performance even further.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Hedge funds; Pension funds; Performance measurement; Certainty equivalent; Alpha
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JACKWERTH, Jens, Anna SLAVUTSKAYA, 2016. The total benefit of alternative assets to pension fund portfolios. In: Journal of Financial Markets. 2016, 31, pp. 25-42. ISSN 1386-4181. eISSN 1878-576X. Available under: doi: 10.1016/j.finmar.2016.06.002BibTex
@article{Jackwerth2016-11total-36314,
year={2016},
doi={10.1016/j.finmar.2016.06.002},
title={The total benefit of alternative assets to pension fund portfolios},
volume={31},
issn={1386-4181},
journal={Journal of Financial Markets},
pages={25--42},
author={Jackwerth, Jens and Slavutskaya, Anna}
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<dcterms:abstract xml:lang="eng">Pension funds only quite recently have explored alternative assets, prodded by financial crises that devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefit derived from diversification, addition of positive skewness, and the elimination of left tails in returns. During 1994–2012, adding portfolios of hedge funds produced significantly higher total benefits than adding real estate, commodities, foreign equities, mutual funds, funds of funds, as well as some counter cyclical and non-cyclical assets. Conditioning on past total benefits improves the out-of-sample performance even further.</dcterms:abstract>
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