Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5100703 | Journal of Financial Markets | 2016 | 18 Pages |
Abstract
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jens Carsten Jackwerth, Anna Slavutskaya,