目标日期基金利用投资者的长时间视野。就是这样。

Investing “for the long run” is an increasingly prominent phenomenon — one that has been made more pressing by the demise of the defined-benefits system and population aging. But these longer investment horizons may come with unintended consequences.

A new industry has arisen to address investors’ long-term investment needs, managed mainly by large investment groups, or fund families, that invest clients’ assets in underlying funds that are either part of the same family or a few very large families. This has induced significant concentration in the creation of investment vehicles. Such concentration raises the critical question of whether a closed architecture — i.e., a fund family investing in its own managed funds —provides the client with the potential benefits of “synergies” related to investing in one’s own products, such as informational advantage and related economies of scale, or whether the potential conflicts of interest swamp such benefits.

Another way of posing this question is to ask whether investors have a long time horizon that prevents them from adequately monitoring their asset managers. Indeed, a longer investment horizon will potentially increase the agency problems, providing the manager with more opportunities to favor its family’s funds at the expense of its own performance.

To investigate this issue, we focus on the the target-date fund industry. Target-date funds were created specifically to invest for the long run by gradually rebalancing portfolios to safer conditions as investors approach retirement — that is, moving investments away from equity and into bonds. More specifically, when the target date is far away, a TDF allocates most of the portfolio to equity investments. As the target date approaches, the TDF decreases the portion allocated to equity and shifts to bonds, reducing the fund’s overall risk exposure. This rebalancing is almost automatic and takes the form of a “glide path.” In this way, the very same fund with the very same clientele transits through the years over several different allocations.

The simplicity of the approach has been a critical factor in the success of these funds. Their number grew from just 63 in 2000 to 2,778 in 2019, with total assets under management surpassing $1.4 trillion by the end of 2019. This growth was stimulated by the U.S. Department of Labor’s decision to make TDFs one of the “qualified default investment alternatives” in employer-sponsored defined-contribution retirement plans under the 2006 Pension Protection Act.

TDFS通常不会直接投资于股权或债券，而是在潜在的汇总投资车辆，如指数共同基金，交易所交易资金，并积极管理共同基金。大多数TDFS在积极管理的共同基金中投入大部分投资组合。这些可以由同一基金家庭或另一个家庭管理。2019年，大约58％的TDFS仅在其家庭的资金中投入。额外的20％投资于其家庭资金的投资组合的50％和99％。只有10.6％的TDFS没有投资自己的家庭。

由于他们投资其他投资车辆，大多数TDF是闭合建筑基金，其中大约20％的TDFS为大多数投资组合具有开放式架构结构。

We test our hypotheses using a sample of 4,084 different TDF share classes that operated between 2000 and 2019. We first document that a longer horizon implies less attention to performance, with flow-performance sensitivity decreasing as the fund horizon lengthens. For long-horizon funds, flow-performance sensitivity is almost flat, which reduces the disciplinary power of investors’ flows. Outflows are always less sensitive to performance than in the case of non-TDFs, whereas inflow sensitivity increases as the horizon lengthens. When the funds are very far away from maturity, new flows are way less sensitive to performance.

通过调节的变化可以解释这种较低的灵敏度，使得TDF可以易于利用投资者的投资者。具体而言，养恤金保护法案允许养老金计划赞助在401（k）退休计划中作为默认投资选项。这种新流量的“违约”投资导致TDF流量在很大程度上与基金的表现无关。

随着投资者对性能的敏感性下降，投资于股权投资的TDF投资组合的百分比，鉴于同一时间范围，稳步增加。2008年至2013年间短（长）地平线的股权投资增加约20％（35％），并在2013年后额外增加9％（10％）。鉴于基金经理的长期投资者的相对注意力发现自己在长期投资的特权位置有限的普遍的短期审查发票estor，它通过倾斜危险的股权来利用它。

我们还注意到地平线和性能之间存在强大的联系。对于投资50（20）年的普通投资者，我们发现由TDFS行为产生的绩效拖累将投资者的累积性能降至20.6％（5.9％）。此外，性能与地平线之间存在负相关性：地平线的十年增长平均转化为每年年度绩效的29个基点下降。

Next, we explain the source of that lower performance. We find that the negative relationship between performance and horizon is reinforced if the family funds in which the TDF invests have high outflows. In particular, each additional year of the horizon translates on average into 1.1bp to 1.2bp of lower net-of-fees annual performance for each standard deviation of outflows from the family’s funds. Moreover, the negative relationship between performance and horizon is amplified by the tendency of TDFs to invest in their own families’ funds. A standard deviation increase in both outflows from and exposure to those family funds leads to annual underperformance of between 4.7 and 5.8 basis points for each year of the horizon.

总的来说，这些结果表明，TDFS在更长的地平线上发挥更糟的表现，因为他们投资于面对流出的家庭资金，可能是为了缓冲流动性冲击。这些资金可能会积极管理 - 即，绩效对流出的效果的资金更为关键，缓冲对流动性休克的缓冲有助于提供更好的表现。

我们也文档TDF经理接触的事实in fee skimming by charging higher fees on the underlying funds — the less observable ones. The longer the horizon, the higher the total fees. In particular, a horizon that is ten years longer results in 4.2bp to 4.8bp in increased total fees. Almost all of the effect comes from “underlying” fees — that is, those charged by the underlying investment vehicles. In contrast, in the case of directly charged fees, the horizon plays no role. This suggests that TDFs are used to subsidize the underlying funds managed by the same family. The average amount of (underlying) profit pumping — quantified as the difference between the expense ratio of each underlying fund and the cheapest share class in the same fund portfolio the TDF could have chosen instead — ranged from 3bp in 2005 to 1.9bp in 2018 and is higher for longer horizons.

最后，我们看到这种行为的风险影响。基金风险与故意投资家庭资金之间存在强大的正相关性，当流动的波动很高时。在地平线上增加（关于无条件平均值）的增加（相对于无条件平均值）平均转化为TDF的TDF较高的1.9％，对家庭基金进行单标准偏差，其投资的家庭基金显示同样的家庭资金这是一个标准偏差更高。在这种情况下，地平线的十年增加也达到了比较效率的2.3％和1.6％更高的β。

总体而言，我们认为，TDF是一个重要的创新，旨在改善退休账户的投资者福利，但我们的结果强调了开放式建筑结构在基金层面的重要性。2017年，John Hancock投资管理总裁兼首席执行官Andrew Arnott呼吁为TDFS开放式架构：“今天的计划级最佳实践呼吁开放式架构，或多方公司，投资产品阵容，但思考线很少延伸到目标日期组合建设。如果开放式架构很重要，那么也许更多的目标日期基金应开放，基于其优点融合各种专业团队。“

We can only second this sentiment. Another takeaway is the importance of transparency in the level of risk that TDFs are taking, both for short and long horizons.

---

Massimo Massa is a professor of finance and the Rothschild Chaired Professor of Banking at INSEAD. Rabih Moussawi is an associate professor of finance at Villanova School of Business. Andrei Simonov is a professor of finance at Michigan State University’s Eli Broad Graduate School of Management.