We analyze a collective defined contribution pension fund which aims at intergenerational risk sharing among different age cohorts using a return smoothing mechanism. Using a utility based framework, we find that approximately one third of unexpected return shocks should be directly passed on to...

How does portfolio of long-term investors like pension funds change relative to the stated strategic portfolio? We investigate their portfolio dynamics using an international database that spans over 20 years and focus on portfolio rebalancing. We find that a significant proportion of the change...

We analyze changes in portfolios of pension funds since the start of current low interest rate environment. We find that they have on average decreased the allocation to equity and increased the allocation to fixed income, which is inconsistent with the literature on strategic asset allocation....

We analyze the three components of active management (asset allocation, market timing and security selection) in the net performance of U.S. pension funds and relate these to fund size and the liquidity of the investments. On average, the funds in our sample have an annual net alpha of 89 basis...

The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada,...