可转移Alpha策略与养老金计划定价偏差

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         We introduce a new dynamic trading strategy based on the systematic misspricing 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.

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关键词：Alpha 养老金 Pha investments Alternative 策略 养老金 计划