INTERNATIONAL INVESTMENT FOR RETIREMENT SAVERS: HISTORICAL EVIDENCE ON RISK AND RETURNS
INTERNATIONAL INVESTMENT FOR RETIREMENT SAVERS: HISTORICAL EVIDENCE ON RISK AND RETURNS
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退休储蓄者的国际投资：风险和回报的历史证据
DOI：
10.2139/ssrn.1299211
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发表时间：
2007
期刊：
影响因子：
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通讯作者：
Gary T. Burtless
中科院分区：
文献类型：
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作者：
Gary T. Burtless
退休储蓄者面临的一个重要决定是如何将他们的储蓄分配到不同的资产上。该决定包括选择如何在国内和国外控股之间分配投资。本研究使用 1927 年至 2005 年的回报数据来确定过去的跨境投资是否对八个大型工业化国家的退休储蓄者有利。假设投资者可以在本国和七个外国中的任何一个国家购买股票和债券指数基金中的共同基金份额。共同基金的海外持仓并未进行对冲，以保护投资者免受货币波动的影响。该论文的目标是确定，如果这八个国家的工人将部分退休储蓄投资于外国股票和债券，他们是否会获得更高的预期退休收入，并且灾难性投资短缺的风险更小。与过去的理论和实证研究结果一致，结果表明，工人可以通过投资外国和国内股票来改善预期财务绩效。值得注意的是，几乎所有国家的退休储蓄者在 100% 国外分配时都会获得比 100% 国内分配时更高的平均养老金，即使他们在不同外国市场之间配置股权投资时遵循极其幼稚的策略。对于大多数国家（但不是美国）的退休储蓄者来说，幼稚的海外投资策略也可以降低投资业绩灾难性糟糕的风险。在所有国家中，选择沿有效边界进行全球投资组合配置的退休储蓄者可以获得更好的平均养老金，并且与将投资限制在国内股票和债券基金的储蓄者相比，养老金非常少的风险更低。
An important decision facing retirement savers is how to allocate their savings across different assets. The decision includes the choice of how to divide investments between domestic and foreign holdings. This study uses return data for 1927-2005 to determine whether cross-border investing in the past would have been advantageous to retirement savers in eight large industrialized countries. By assumption investors can buy mutual fund shares in index funds for stocks and bonds in their home country and in any of seven foreign countries. The mutual funds’ foreign holdings are not hedged to protect investors against currency fluctuations. The paper’s goal is to determine whether workers in the eight countries would have obtained higher expected retirement incomes, with smaller risk of catastrophic investment shortfalls, if they invested part of their retirement savings in foreign stocks and bonds. Consistent with past theoretical and empirical findings, the results show that workers could have improved expected financial performance by investing in foreign as well as domestic equities. Remarkably, retirement savers in nearly all countries would have obtained higher average pensions with a 100% foreign allocation than with a 100% domestic allocation, even if they followed extremely naive strategies in allocating equity investments across different foreign markets. For retirement savers in most countries, though not the United States, naive overseas investment strategies would also have reduced the risk of catastrophically poor investment performance. In all countries, retirement savers who selected a global portfolio allocation along the efficient frontier could obtain better average pensions with lower risk of very small pensions than savers who restrict their investments to the domestic stock and bond funds.