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Heterogeneity in target-date funds and the Pension Protection Act of 2006

Author: Pierluigi Balduzzi; Jonathan Michael Reuter; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2012.
Series: Working paper series (National Bureau of Economic Research), no. 17886.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper studies the evolution of the market for target-date funds (TDFs) between 1994 and 2009. We document pronounced heterogeneity in the TDF universe: TDFs with the same target date have delivered very different returns because of differences in systematic risk in the stock allocations, and because of differences in the stock versus bond allocations. This heterogeneity has increased over time, especially after  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Pierluigi Balduzzi; Jonathan Michael Reuter; National Bureau of Economic Research.
OCLC Number: 779702102
Notes: Title from http://www.nber.org/papers/17886 viewed March 12, 2012.
March 2012.
Description: 1 online resource (38 pages).
Series Title: Working paper series (National Bureau of Economic Research), no. 17886.
Responsibility: Pierluigi Balduzzi, Jonathan Reuter.

Abstract:

This paper studies the evolution of the market for target-date funds (TDFs) between 1994 and 2009. We document pronounced heterogeneity in the TDF universe: TDFs with the same target date have delivered very different returns because of differences in systematic risk in the stock allocations, and because of differences in the stock versus bond allocations. This heterogeneity has increased over time, especially after the passage of the Pension Protection Plan of 2006. Indeed, we can attribute the increased heterogeneity in TDFs to the entry of new fund families in the TDF market between 2007 and 2009. These developments in the TDF market are consistent with new entries in the market adopting a product-differentiation strategy. Our findings suggest that the widespread adoption of TDFs will not result in returns that are similar across investors enrolled in different 401(k) plans, and that the current proposals for further disclosure in TDF offerings may have little impact on the incentive for fund families to offer similar risk profiles.

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