RT Journal Article
SR Electronic
T1 Beyond the Glide Path: <em>The Drivers of Target-Date Fund Returns</em>
JF The Journal of Retirement
FD Institutional Investor Journals
SP 25
OP 39
DO 10.3905/jor.2018.1.038
VO 5
IS 4
A1 David Blanchett
A1 Paul D. Kaplan
YR 2018
UL https://pm-research.com/content/5/4/25.abstract
AB The authors explore the relative importance of the three primary drivers of target-date fund (TDF) performance: equity (or market) exposures (which, across a series’ vintages, combine to form a glide path), style exposures (intrastock and intrabond allocations), and other investment selection decisions (e.g., manager selection and the active/passive decision, as well as any other residual risk exposures). They find that overall equity exposure drives only about 25% of the variation in returns across TDFs versus approximately 30% for style and 45% for selection, on average. Consequently, the analysis of the riskiness of a given TDF must be based on more than the overall weight given to equites.TOPICS: Retirement, analysis of individual factors/risk premia, risk management