Portable Alphas from Pension Mispricing

Francesco Franzoni () and Jose Marin ()
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Francesco Franzoni: GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique

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Abstract: We introduce a new dynamic trading strategy based on the systematic mispricing of U.S. companies sponsoring Defined Benefit pension plans. This portfolio produces an average return of 1.51% monthly between 1989 and 2004, with a Sharpe Ratio of 0.26. The returns of the strategy are not explained by those of primary assets. These returns are not related to those of benchmarks in the alternative investments industry either. Hence, we are in the presence of a ``pure alpha" strategy that can be ported into a large variety of portfolios to significantly enhance their performance

Keywords: Portable Alphas; Pension Mispricing (search for similar items in EconPapers)
Date: 2006-07
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Citations: View citations in EconPapers (5)

Published in Journal of portfolio management, 2006, 32 (4), pp.44-53

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Working Paper: Portable Alphas from Pension Mispricing (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00119546

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