Fund selection in target date funds

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• 作者：Chia-Ying Chan^a ; ^{sherrychan@saturn.yzu.edu.tw} ; Hsuan-Chi Chen^b ; ^{chenh@unm.edu} ; Yu Hsuan Chiang^c ; ^{yhchiang@mail.gretai.org.tw} ; Christine W. Lai^d ; ^{cwlai@ntnu.edu.tw}
• 关键词：Target date funds ; Family-fund strategy ; Performance ; Fund family
• 刊名：The North American Journal of Economics and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：39
• 期：Complete
• 页码：197-209
• 全文大小：389 K
• 卷排序：39

文摘

This study investigates the family-fund strategy in target date funds (TDFs). We find that fund families often create TDFs by bundling existing mutual funds and use TDFs to increase non-performance-related flows to constituent funds that are not competitive. Such incremental non-performance-related flows exceed 1% of total net assets on a monthly basis. We further investigate the potential monitoring effect of plan sponsors by examining the association between the characteristics of constituent funds and their likelihood of staying in the TDFs. We find that constituent funds with lower return performance or younger age exhibit a lower survival probability of continuing as part of a TDF. Therefore, the problem of potential agency cost at the selection point of the constituent funds may be mitigated to some extent after entering TDFs.