固定缴款计划中另类投资的潜力（英）

The Potential of Alternative Investments in Defined Contribution PlansBRIAN WONGThis document was submitted as a dissertation in December 2024 in partial fulfillment of the requirements of the Frederick S. Pardee Ph.D. in Policy Analysis at the RAND School of Public Policy. The faculty committee that supervised and approved the dissertation consisted of Katherine Carman (chair), Philip Armour, and Tim Marler. This dissertation was generously supported by the FINRA Investor Education Foundation Dissertation Completion Fellowship Program and Pardee RAND Graduate School Dissertation Awards.Approved for public release; distribution is unlimited.For more information on this publication, visit www.rand.org/t/RGSDA4275-1.About the RAND School of Public PolicyThe RAND School of Public Policy has specialized in graduate-level policy education since its founding in 1970. The RAND School is home to the Frederick S. Pardee Ph.D. in Policy Analysis, which is the original public policy Ph.D. program in the United States and the only Ph.D. program based at an independent public policy research organization. To learn more about the RAND School of Public Policy, visit www.rand.edu.Published in 2025 by the RAND Corporation, Santa Monica, Calif. is a registered trademark.iii | P a g e THE POTENTIAL OF ALTERNATIVE INVESTMENTS IN DEFINED CONTRIBUTION PLANS “Diversification is the only free lunch in investing.” – Henry Markowitz Brian Wong BRIAN@RAND.ORG Abstract This research seeks to understand if returns for employees’ retirement plans can be improved by increasing the number of retirement investment options. Defined contribution plans typically only have access to traditional investments, such as stocks and bonds, but not alternative assets. Alternative assets are characterized by a low correlation of returns, low liquidity due to withdrawal restrictions, and less regulation compared to traditional investments. Their use is limited to what are known as accredited investors, individual investors typically must meet income and asset requirements. As such, most employees do not have access to alternative investments in their personal portfolios. This research will use optimization theory over a range of future return assumptions to assess the potential value alternative investments in different portfolios. The results will illustrate the risk-return tradeoff for including alternatives in DC portfolios. This strategy could lead to higher long-term average returns for employees, enabling them to successfully save for retirement. iv | P a g e Contents Introduction ........................................................................................................................................................ 1 The Motivation of the Work ........................................................................................................................ 1 The Research Questions ..............................................................................