Abstract We conduct a returns-based [Sharpe, 1988] , [Sharpe, 1992] style analysis of U.S. corporate defined benefit pension plans. The returns for corporate pension funds are reported only once per year, limiting the degrees of freedom for a returns-based style analysis. To address this problem, we introduce a “Search” method that systematically tests all possible combinations of a limited number of factors (market indices) to find the set with the highest explanatory power of historical returns. We find that pension funds exhibit significant exposure to private equity, much more so then balanced funds. We provide a new approach to measuring the relative contributions of policy and active management by using squared partial correlation coefficients to control for market movements. We find that pension funds show more active management compared to balanced funds.

中文翻译：

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估计主动管理和私募股权对设定受益养老基金的影响

摘要 我们对美国企业固定福利养老金计划进行了基于回报的 [Sharpe, 1988] 和 [Sharpe, 1992] 风格分析。企业养老基金的回报每年仅报告一次，这限制了基于回报的风格分析的自由度。为了解决这个问题，我们引入了一种“搜索”方法，该方法系统地测试有限数量的因子（市场指数）的所有可能组合，以找到具有最高历史回报解释力的集合。我们发现养老基金对私募股权的敞口显着，比平衡基金更显着。我们通过使用平方偏相关系数来控制市场变动，提供了一种衡量政策和主动管理的相对贡献的新方法。