TY - JOUR T1 - Portable Alphas from Pension Mispricing JF - The Journal of Portfolio Management SP - 44 LP - 53 DO - 10.3905/jpm.2006.644193 VL - 32 IS - 4 AU - Francesco Franzoni AU - José M. Marín Y1 - 2006/07/31 UR - https://pm-research.com/content/32/4/44.abstract N2 - Between 1989 and 2004, a portfolio based on the systematic mispricing of U.S. companies sponsoring defined-benefit pension plans produced a monthly average excess return of 1.51% and a Sharpe ratio of 0.26 monthly. The returns of this strategy are not explained by those of the primary assets, nor are they related to most of the benchmarks in the alternative investments industry either. Two striking properties of this “pure alpha” strategy are that its returns are negatively correlated with credit spreads and that it does reasonably well in tumultuous times, making it an attractive investment as a hedge for the risks of default and illiquidity.TOPICS: Security analysis and valuation, portfolio construction, long-term/retirement investing ER -