This paper examines investors’ retirement savings allocation using a hand-collected dataset on 401(k) plans. We find that 83% of investors in our sample hold only 39% of total assets and follow a return-chasing strategy. In contrast, the remaining 17% of wealthy investors with relatively higher financial literacy follow CAPM alpha. This difference between the two investor groups explains why fund flows respond to returns at the plan level but to CAPM alpha at the aggregated fund level. Return-chasing by unwealthy investors is not optimal, as it significantly underperforms a strategy that passively invests in the existing funds in their plans.

中文翻译：

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找错树：401(k) 计划中的回归追逐

本文使用手工收集的 401(k) 计划数据集研究了投资者的退休储蓄分配情况。我们发现样本中 83% 的投资者仅持有总资产的 39%，并遵循追逐回报的策略。相比之下，其余 17% 的富裕投资者拥有相对较高的金融知识，遵循 CAPM alpha。两个投资者群体之间的这种差异解释了为什么资金流对计划层面的回报做出反应，而对聚合基金层面的 CAPM alpha 做出反应。不富裕的投资者追逐回报并不是最佳选择，因为它的表现明显低于被动投资于计划中现有基金的策略。