MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS

Can Large Pension Funds Beat the Market?

We assess and analyze the three components of active management (asset allocation, market timing and security selection) in the performance of pension funds. Security selection explains most of the differences in pension fund returns. Large pension funds in our sample on average provide value to their clients after accounting for all investment-related costs, both before and after risk-adjustin...

Strategic behavior within families of hedge funds ¬リニ

The paper investigates the strategic behavior of hedge fund families. It focuses on decisions to start and liquidate family-member funds. Hedge fund families tend to liquidate funds that underperform compared to other member funds, and to replace them by new ones. By choosing a launch time after a short period of superior performance by their member funds, families extend the spillover to new f...

Fiscal Shenanigans, Targeted Federal Health Care Funds, and Patient Mortality.

We explore the effectiveness of matching grants when lower levels of government can expropriate some of the funds for other uses. Using data on the Medicaid Disproportionate Share program, we identify states that were most able to expropriate funds. Payments to public hospitals in these states were systematically diverted and had no significant impact on patient mortality. Payments that were no...

Mortality risk and real optimal asset allocation for pension funds∗

We analyze the problem of real optimal asset allocation for a pension fund maximising the expected CRRA utility of its real disposable wealth. The financial horizon of the analysis coincides with the random death time of a representative subscriber. We consider a very general setting where there exists a stochastic investment opportunity set together with stochastic contributions and pensions a...

Hedge Funds, Funds-of-Funds, and Commodity Trading Advisors