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Pension funds’allocations to hedge funds: an empirical analysis of US and Canadian defined benefit plans

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  • Vincent Bouvatier
  • Sandra Rigot

Abstract

This paper investigates the characteristics of US and Canadian pension funds that allocate assets to hedge funds. The typical pension fund that invests in hedge funds is a large sophisticated pension fund that diversi es its portfolio across numerous classes of investments, private equity in particular, uses a core-satellite organization and has access to low delegation costs for alternative assets. Moreover, we fi nd that pension funds investing in hedge funds signifi cantly obtained higher global returns.

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File URL: http://economix.fr/pdf/dt/2013/WP_EcoX_2013-04.pdf
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Bibliographic Info

Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2013-4.

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Length: 32 pages
Date of creation: 2013
Date of revision:
Handle: RePEc:drm:wpaper:2013-4

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Keywords: pension funds; hedge funds; asset allocation; diversi cation;

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  1. Bikker, Jacob A. & De Dreu, Jan, 2009. "Operating costs of pension funds: the impact of scale, governance, and plan design," Journal of Pension Economics and Finance, Cambridge University Press, Cambridge University Press, vol. 8(01), pages 63-89, January.
  2. Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 69-85, January.
  3. Kenneth R. French, 2008. "Presidential Address: The Cost of Active Investing," Journal of Finance, American Finance Association, American Finance Association, vol. 63(4), pages 1537-1573, 08.
  4. Carl Ackermann & Richard McEnally & David Ravenscraft, 1999. "The Performance of Hedge Funds: Risk, Return, and Incentives," Journal of Finance, American Finance Association, American Finance Association, vol. 54(3), pages 833-874, 06.
  5. Bauer, R.M.M.J. & Cremers, K.J.M. & Frehen, R.G.P., 2010. "Pension Fund Performance and Costs: Small is Beautiful," MPRA Paper 23556, University Library of Munich, Germany.
  6. Vikas Agarwal, 2004. "Risks and Portfolio Decisions Involving Hedge Funds," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 17(1), pages 63-98.
  7. Jan de Dreu & J.A. Bikker, 2009. "Pension fund sophistication and investment policy," Working Papers, Utrecht School of Economics 09-13, Utrecht School of Economics.
  8. Sandra Rigot & Yamina Tadjeddine, 2010. "Emergence of a New Regulation: Informational Disclosure Modalities in the Hedge Fund Opacity World," Economie Internationale, CEPII research center, CEPII research center, issue 123, pages 161-196.
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