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Article

Beyond the Glide Path: The Drivers of Target-Date Fund Returns

David Blanchett and Paul D. Kaplan
The Journal of Retirement Spring 2018, jor.2018.1.038; DOI: https://doi.org/10.3905/jor.2018.1.038
David Blanchett
is head of retirement research for Morningstar Investment Management LLC
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Paul D. Kaplan
is director of research for Morningstar Canada (Morningstar Research, Inc.)
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Abstract

The authors explore the relative importance of the three primary drivers of target date fund (TDF) performance: equity (or market) exposures (which across a series' vintages combine to form a glide path), style exposures (intrastock and intrabond allocations), and other investment selection decisions (e.g., manager selection and the active/passive decision, as well as any other residual risk exposures). They find that overall equity exposure drives only about 25% of the variation in returns across TDFs versus approximately 30% for style and 45% for selection, on average. Consequently, the analysis of the riskiness of a given TDF must be based on more than the overall weight given to equites.

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Beyond the Glide Path: The Drivers of Target-Date Fund Returns
David Blanchett, Paul D. Kaplan
The Journal of Retirement Apr 2018, jor.2018.1.038; DOI: 10.3905/jor.2018.1.038

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Beyond the Glide Path: The Drivers of Target-Date Fund Returns
David Blanchett, Paul D. Kaplan
The Journal of Retirement Apr 2018, jor.2018.1.038; DOI: 10.3905/jor.2018.1.038
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  • Article
    • Abstract
    • TARGET-DATE FUNDS
    • DEFINING RISK
    • DECOMPOSING THE RISKS OF TDFS
    • DECOMPOSITIONS OF VARIANCE
    • INTRODUCING ACTIVENESS
    • CONCLUSIONS
    • APPENDIX A
    • APPENDIX B
    • APPENDIX C
    • Appendix D
    • APPENDIX E
    • ENDNOTES
    • REFERENCES
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