The total benefit of alternative assets to pension fund portfolios

Jens Jackwerth () and Anna Slavutskaya ()
Additional contact information
Jens Jackwerth: Department of Economics, University of Konstanz, Germany
Anna Slavutskaya: Graduate School of Decision Sciences, University of Konstanz, Germany

No 2016-06, Working Paper Series of the Department of Economics, University of Konstanz from Department of Economics, University of Konstanz

Abstract: Pension funds only quite recently have explored alternative assets, prodded by financial crises which 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 has produced significantly higher total benefits than adding real estate, commodities, foreign equities, mutual funds, or funds of funds. Conditioning on past total benefits improves the out‐of‐sample performance even further as total benefits are more persistent than alpha.

Keywords: Hedge Funds; Pension Funds; Performance Measurement; Certainty Equivalent; Alpha (search for similar items in EconPapers)
JEL-codes: G11 G12 G23 (search for similar items in EconPapers)
Pages: 63 pages
Date: 2016-04-14
New Economics Papers: this item is included in nep-age and nep-pke
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.uni-konstanz.de/FuF/wiwi/workingpaperse ... Slavutskaya_2016.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:knz:dpteco:1606

Ordering information: This working paper can be ordered from
https://www.wiwi.uni-konstanz.de/en

Access Statistics for this paper

More papers in Working Paper Series of the Department of Economics, University of Konstanz from Department of Economics, University of Konstanz Contact information at EDIRC.
Bibliographic data for series maintained by Office Ursprung ( this e-mail address is bad, please contact ).