Alternative Asset Fees, Returns, and Volatility of State Pension Funds: A Case Study of the New Jersey Pension Fund

IF 0.4 Q4 BUSINESS, FINANCE
Jeff Hooke, Carol Park, Ken Yook
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引用次数: 1

Abstract

This case study provides new information about alternative asset fees to many institutional investors by tapping a relatively unknown data source: state pension fund annual reports. Examining the few state pension funds annual reports that track both fixed fees and carried interest fees of private equity funds and hedge funds, we find that average alternative asset fees were 2.48% of the relevant pension fund assets for the fiscal year ended June 30, 2017. In addition, as New Jersey provides the most detailed alternative asset data, this study discusses New Jersey pension fund’s private equity and hedge fund (a) returns, (b) fees, and (c) volatility, compared to verifiable and public benchmarks for the five years ended June 30, 2017. Both private equity and hedge fund portfolios underperformed the benchmarks, and the alternative asset industries’ claim of higher returns and lower risks than traditional assets is not supported in this study. To the degree that other state pension funds follow the same investment policies and controls as the state of New Jersey, this study concludes that state pension funds should reduce their holdings of alternative asset substantially. TOPICS: Wealth management, retirement, pension funds, private equity Key Findings • The New Jersey pension plan’s private equity fund and hedge fund portfolios (i) are reasonable proxies for both asset classes and (ii) are similar to those of other state pension funds. • PE five-year annualized returns (net of fees) were the same as the S&P 500. Hedge fund returns were significantly below the 60–40 index and equivalent to LIBOR+5%. • PE return volatility was similar to the S&P 500. HF volatility was greater than the 60-40 and LIBOR+5%. Average annual PE and HF fees were 3.29% and 3.08% respectively.
国家养老基金的另类资产费用、收益和波动性:以新泽西州养老基金为例
这项案例研究通过挖掘一个相对未知的数据来源:国家养老基金年报,为许多机构投资者提供了关于另类资产费用的新信息。研究少数几个同时跟踪私募股权基金和对冲基金固定费用和附带利息费用的国家养老基金年度报告,我们发现,截至2017年6月30日的财政年度,平均另类资产费用占相关养老基金资产的2.48%。此外,由于新泽西州提供了最详细的另类资产数据,本研究讨论了新泽西州养老基金的私募股权和对冲基金(a)回报率、(b)费用和(c)波动性,与截至2017年6月30日的五年可验证和公开基准相比。私募股权和对冲基金投资组合的表现都不如基准,另类资产行业声称的比传统资产更高的回报和更低的风险在本研究中没有得到支持。在一定程度上,其他州养老基金遵循与新泽西州相同的投资政策和控制,本研究得出结论,州养老基金应大幅减少其持有的替代资产。主题:财富管理、退休、养老基金、私募股权关键发现•新泽西州养老计划的私募股权基金和对冲基金投资组合(i)是两种资产类别的合理代表,(ii)与其他州养老基金的投资组合相似。•PE五年期年化回报率(扣除费用)与标准普尔500指数相同。对冲基金回报率显著低于60-40指数,相当于伦敦银行同业拆借利率+5%。•PE回报波动率与标准普尔500指数相似。HF波动率大于60-40和伦敦银行同业拆借利率+5%。年均PE和HF费用分别为3.29%和3.08%。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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