Tactical Target Date Funds

• 成果类型: Article
• 署名作者: Gomes, Francisco; Michaelides, Alexander; Zhang, Yuxin
• 署名单位: University of London; London Business School; Imperial College London; Renmin University of China
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.3981
• 发表日期: 2022
• 页码: 3047-3070
• 关键词: target date funds; life cycle portfolio choice; Retirement savings; Variance risk premium; Strategic asset allocation; tactical asset allocation; Market timing

摘要

We propose target date funds modified to exploit stock return predictability driven by the variance risk premium. The portfolio rule of these tactical target date funds (TTDFs) is extremely simplified relative to the optimal one, making it easy to implement and to communicate to investors. We show that saving for retirement in TTDFs generates economically large welfare gains, even after we introduce turnover restrictions and transaction costs, and after taking into account parameter uncertainty. This predictability also appears to be uncorrelated with individual household risk, suggesting that house-holds are in a prime position to exploit it.