Journal of Financial Markets, Volume 31, November 2016, Pages 25–42

另类资产对养老基金投资组合的总效益

作者：Jens Carsten Jackwertha(University of Konstanz ), Anna Slavutskayab(?cole polytechnique fédérale de Lausanne – Swiss Finance Institute )

摘要：金融危机打击了权益报酬并导致债券低收益，受此刺激，养老基金近期开始探索另类资产。我们对养老基金投资组合中加入另类资产的评估从以下方面展开：多样化产生的总效益，增加正偏度，和消除收益左尾。在1994至2012年间，增加对冲基金组合比增加房地产、大宗商品、外国股票、共同基金、FOF以及一些逆周期和非周期性资产，产生显著更高的总效益。基于过去的总效益能够更进一步地改善样本外表现。

关键词：对冲基金；养老基金；绩效评价；确定等价；阿尔法

The total benefit of alternative assets to pension fund portfolios

Jens Carsten Jackwertha(University of Konstanz ), Anna Slavutskayab(?cole polytechnique fédérale de Lausanne – Swiss Finance Institute )

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.

Keywords：Hedge funds; Pension funds; Performance measurement; Certainty equivalent; Alpha

原文链接： http://www.sciencedirect.com/science/article/pii/S1386418115300422

翻译：黄怡文