What is it about?
Asset liability management (ALM) and liability driven investment (LDI) strategies usually guide pension fund managers to invest the money in broad asset classes, but the selection of specific assets, among the infinity available in the market, is left open. This article contributes to fill this gap, using fixed income and stock investment funds, and demonstrates that adopting simple indicators the pension funds can increase investment performance.
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Why is it important?
We analyzed hypothetical portfolios formed with the best funds according to the following techniques: (i) the Sharpe ratio; (ii) the alpha of a multifactor model; (iii) data envelopment analysis (DEA) efficiency; and (iv) the different combinations of these techniques. We adopt several time windows for choosing and re-evaluating the portfolios.
Perspectives
We expect the article can contribute to improve the returns for pension fund investments in fixed income and stock funds, being superior to actuarial goal of the benefits plans, using the Sharpe ratio as a selection criterion.
Robert Iquiapaza
Universidade Federal de Minas Gerais
Read the Original
This page is a summary of: Investment fund selection techniques from the perspective of Brazilian pension funds, Revista Contabilidade & Finanças, April 2022, FapUNIFESP (SciELO),
DOI: 10.1590/1808-057x202113250.
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