Portable Alphas from Pension Mispricing
We introduce a new dynamic trading strategy based on the systematic mispricing of U.S. companies sponsoring Defined Benefit pension plans. This portfolio produces an average return of 1.51% monthly between 1989 and 2004, with a Sharpe Ratio of 0.26. The returns of the strategy are not explained by those of primary assets. These returns are not related to those of benchmarks in the alternative investments industry either. Hence, we are in the presence of a "pure alpha" strategy that can be ported into a large variety of portfolios to significantly enhance their performance.
|Date of creation:||Oct 2005|
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References listed on IDEAS
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- William Goetzmann & Jonathan Ingersoll & Matthew I. Spiegel & Ivo Welch, 2002.
"Sharpening Sharpe Ratios,"
NBER Working Papers
9116, National Bureau of Economic Research, Inc.
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