| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27971 |
| 来源ID | Working Paper 27971 |
| An Analysis of the Performance of Target Date Funds | |
| John B. Shoven; Daniel B. Walton | |
| 发表日期 | 2020-10-19 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | This paper presents a thorough evaluation of target date funds for the period 2010-2020. These funds have grown enormously in assets, reaching $1.4 trillion by the end of 2019. They account for approximately 24 percent of all of the assets in 401(k) accounts. The paper reports on the results of a style analysis evaluation of TDFs which results in their effective asset allocation. It examines the constant in the style analysis regressions which reflects the over- or under-performance of the funds relative to a passive benchmark with the same asset allocation. Lower cost TDFs tend to match the benchmark, whereas higher cost TDFs deviate considerably from theirs. We examine how TDFs performed in the stock market crash between 2/19/20 and 3/23/20. In this five week period, broad market averages fell by about one-third. We find that the value of long-dated TDFs (those with a target date of 2045 and beyond) fell by between 30 and 35 percent, whereas the 2025 funds, designed for people roughly 60 years old, lost between 20 and 25 percent of their value. We find that past performance only weakly influences future expected performance. As with equity funds in general in this period, TDFs with actively managed ingredient funds, on average, trailed the performance of their cheaper passively managed counterparts. |
| 主题 | Microeconomics ; Households and Firms ; Behavioral Economics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance ; Labor Economics ; Labor Compensation |
| URL | https://www.nber.org/papers/w27971 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585645 |
| 推荐引用方式 GB/T 7714 | John B. Shoven,Daniel B. Walton. An Analysis of the Performance of Target Date Funds. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w27971.pdf（1232KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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