The impact of alternative assets on the performance of Brazilian private pension funds

ABSTRACT This article assesses the impact of alternative assets on the performance of Brazilian private pension funds. Few studies touch on this topic in Brazil and most only investigate the addition of alternative assets and their impact on the performance. The market of open private pension funds in Brazil has been growing rapidly in recent years and gaining much relevance, especially after the announcement of the reformulation of the Brazilian pension system. In 2018, the Free Benefit Generating Plan (PGBL) and the Free Benefit Generating Life (VGBL) represented more than 94% of total assets in their sector. The Brazilian specially constituted investment funds (FIEs) of PGBL and VGBL private pension plans are characterized by their dependence on fixed income assets. Brazil currently faces an unprecedent low interest rate scenario - which, following a worldwide panorama, seems to be set for a long time - and pension fund managers must search for alternative investments that aggregate both risk premia and diversification. The results of this study may support managers in this little-discussed matter. We compare the performance of FIEs without additional alternative assets versus the portfolio with alternative assets, adding a hedge fund index, an equity mutual funds index, a commodity index, an electric power index, a public utilities index, a gold index, and a real estate index. Several performance measures were used, considering Brazilian regulations and a rebalancing strategy. Our results showed that almost all alternative assets used in this study improved the performance of the Brazilian FIEs of PGBL and VGBL private pension plans, especially the public utilities index and the hedge fund index. Some even improved the portfolio tail risk.摘要 本文评估了另类资产对巴西私人养老基金业绩的影响。目前巴西国内针对该主题的研究寥寥无几，且多数仅探讨另类资产的纳入及其对业绩的影响。 近年来，巴西开放式私人养老基金市场增长迅猛，行业影响力与日俱增，尤其在巴西养老金体系重构公告发布后，其重要性愈发凸显。2018年，自由收益生成计划（Free Benefit Generating Plan，PGBL）与自由收益生成人寿计划（Free Benefit Generating Life，VGBL）的管理规模占该细分板块总资产的比例超过94%。 巴西PGBL与VGBL私人养老计划的专项投资基金（specially constituted investment funds，FIEs）以依赖固定收益类资产为显著特征。当前巴西正处于前所未有的低利率周期，结合全球宏观背景来看，这一低利率态势或将长期延续，因此养老基金管理人亟需寻求兼具风险溢价与分散化收益的另类投资标的。 本研究结果可为基金管理人在这一尚少被探讨的议题上提供决策参考。我们对比了两类投资组合的业绩表现：一类是未额外配置另类资产的专项投资基金，另一类是纳入各类另类资产的投资组合，所纳入的另类资产包括对冲基金指数、股票型公募基金指数、商品指数、电力指数、公用事业指数、黄金指数以及房地产指数。研究采用多项业绩评价指标，结合巴西监管要求与再平衡策略展开分析。 结果显示，本研究使用的绝大多数另类资产均可改善巴西PGBL与VGBL私人养老计划专项投资基金的业绩表现，其中公用事业指数与对冲基金指数的提升效果尤为显著。部分另类资产甚至可优化投资组合的尾部风险。