Coordenação de Prazos e Eficiência Previdenciária

Abstract The returns-based style analysis (Sharpe, 1992) of the 457 fixed-income pension funds in Brazil, between 2011 and 2015, is conclusive: financial allocations are concentrated in short-term maturity assets. Therefore, there is room for lengthening the average-asset maturity, which would raise expected returns via liquidity premium. The introduction of the targetdate funds in Brazil proved to be a valuable natural experiment. We show a significant and isolated stretching in the portfolio-term of these funds, suggesting that the information coordinates resources that demand less liquidity for longer bonds. Our results recommends a larger use of target date funds as a way of giving more efficiency to the Brazilian social security system.