Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff?

We document a reduction in both the level and cross-sectional dispersion of systematic risk in the target-date fund (TDF) market after 2008, which resulted in better performance of TDFs during the COVID-19 selloff compared to the 2008 selloff and a reduction in TDF return dispersion. We find that th...

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Detalles Bibliográficos
Autores principales: Mao, Mike Qinghao, Wong, Ching Hin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9761862/
https://www.ncbi.nlm.nih.gov/pubmed/36567918
http://dx.doi.org/10.1016/j.jbankfin.2021.106367
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author Mao, Mike Qinghao
Wong, Ching Hin
author_facet Mao, Mike Qinghao
Wong, Ching Hin
author_sort Mao, Mike Qinghao
collection PubMed
description We document a reduction in both the level and cross-sectional dispersion of systematic risk in the target-date fund (TDF) market after 2008, which resulted in better performance of TDFs during the COVID-19 selloff compared to the 2008 selloff and a reduction in TDF return dispersion. We find that the shift is more pronounced in close-to-retirement funds and driven by the TDF series investing more in equities in the early period, consistent with TDFs catering to the market demand for lower risk exposure after the 2008 crisis. In addition, TDF systematic risk shifters do not exhibit more idiosyncratic risk-taking.
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spelling pubmed-97618622022-12-19 Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff? Mao, Mike Qinghao Wong, Ching Hin J Bank Financ Article We document a reduction in both the level and cross-sectional dispersion of systematic risk in the target-date fund (TDF) market after 2008, which resulted in better performance of TDFs during the COVID-19 selloff compared to the 2008 selloff and a reduction in TDF return dispersion. We find that the shift is more pronounced in close-to-retirement funds and driven by the TDF series investing more in equities in the early period, consistent with TDFs catering to the market demand for lower risk exposure after the 2008 crisis. In addition, TDF systematic risk shifters do not exhibit more idiosyncratic risk-taking. Elsevier B.V. 2022-02 2021-11-24 /pmc/articles/PMC9761862/ /pubmed/36567918 http://dx.doi.org/10.1016/j.jbankfin.2021.106367 Text en © 2021 Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Mao, Mike Qinghao
Wong, Ching Hin
Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff?
title Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff?
title_full Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff?
title_fullStr Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff?
title_full_unstemmed Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff?
title_short Why have target-date funds performed better in the COVID-19 selloff than the 2008 selloff?
title_sort why have target-date funds performed better in the covid-19 selloff than the 2008 selloff?
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9761862/
https://www.ncbi.nlm.nih.gov/pubmed/36567918
http://dx.doi.org/10.1016/j.jbankfin.2021.106367
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