Pension Fund Performance Measurement—the Way Ahead?.

1987 ◽  
Vol 30 ◽  
pp. 163-179
Author(s):  
T. J. A. Gardener
Keyword(s):  
Performance Measurement ◽  
Theoretical Basis ◽  
Pension Fund ◽  
Fund Performance ◽  
Pension Funds ◽  
Rate Of Return ◽  
Comprehensive Description ◽  
Investment Performance ◽  
The Way

In the last ten years Staple Inn has played host to two major discussions on performance measurement. In November 1976, Holbrook's definitive paper to the Institute set out in some detail the theoretical basis of performance measurement while in January 1980 Hager's paper to the Student's Society gave a detailed view of performance measurement in practice. Between them the two papers provide a fairly comprehensive description of what was, even in 1980, a relatively novel science for many U.K. pension funds. At the time of writing the majority of large- and medium-sized directly invested pension funds have their investment performance measured. Yet even after fifteen years of performance measurement in the U.K. some of the fundamentals of performance measurement are questioned and even disputed by a sizeable proportion of actuaries—for example in his March 1985 paper to the Faculty of Actuaries Marshall states, “This must call in question the validity of its (the Time Weighted Rate of Return) use for comparative purposes”.

The liability market value as benchmark in pension fund performance measurement

2014 ◽  
Vol 15 (1) ◽  
pp. 90-111
Author(s):  
LIDIA BOLLA ◽  
HAGEN WITTIG ◽  
ALEXANDER KOHLER
Keyword(s):  
Financial Crisis ◽  
Performance Measurement ◽  
Pension Fund ◽  
Market Value ◽  
Fund Performance ◽  
Pension Funds ◽  
New Approach ◽  
Corporate Pension ◽  
Recent Financial Crisis ◽  
Operational Tool

AbstractOften performance of pension funds is assessed based on the development of the assets only, neglecting the simultaneous development of the liabilities. This especially is the case in Switzerland, one of the world's largest markets for corporate pension funds. We create a new liability benchmark for referencing the asset performance. Measuring the asset performance with respect to the liability benchmark yields the Asset-Liability-Result. We apply the model to (i) the Swiss pension fund market as a whole and (ii) an individual Swiss pension fund. With our new approach, we are able to show that the pension funds’ recovery from the recent financial crisis took much longer than the value increase of the asset portfolios suggests. We strongly advocate the use of a liability benchmark for analyzing the entire pension fund markets’ performance and specifically as operational tool for individual pension funds.

scholarly journals DETERMINANTS INFLUENCING PENSION FUND INVESTMENT PERFORMANCE IN KENYA

2018 ◽  
Vol 3 (1) ◽  
pp. 14
Author(s):  
Anthony Kyanesa Mutula ◽  
Dr. Assumptah Kagiri
Keyword(s):  
Pension Fund ◽  
Multiple Linear Regression Model ◽  
Target Population ◽  
Pension Funds ◽  
Primary Data ◽  
Investment Strategies ◽  
Investment Performance ◽  
Descriptive Research ◽  
Fund Investment ◽  
Regulation Compliance

Purpose: The purpose of the study was to investigate the determinants influencing pension fund investment performance in Kenya.Methodology: The study employed a descriptive research design. The study target population was all the 33 registered pension funds in Kenya, and the sample size was 66 senior employees involved in decision making. The study adopted a census approach and therefore data was collected from all the 33 registered pension funds. A questionnaire was used to collect primary data from the selected respondents. The data collected was analyzed using the statistical package for social sciences (SPSS) version 23.0. The software was used to produce frequencies, descriptive and inferential statistics which was used to derive generalizations and conclusions regarding the population. Multiple linear regression model was used to measure the relationship between the independent variables and the dependent variable. The study findings were presented using figures and tables.Results: The study findings revealed a positive and significant relationship between diversification decisions, management competency, investment strategies, regulation compliance and investment performance of pension funds in Kenya.Unique contribution to theory, practice and policy: The study recommended that the management of pension funds should establish a strong organization structure and policy implementation, which will enhance their portfolio composition; the firms should have highly competent management; should incorporate investment literacy and capability programs in their organizations; and should continue adhering to the set regulations.

scholarly journals An empirical analysis of the performance of pension funds: evidence from UK

2014 ◽  
Vol 31 (2) ◽  
pp. 141-155 ◽  
Author(s):  
Roberta Adami ◽  
Orla Gough ◽  
Suranjita Mukherjee ◽  
Sheeja Sivaprasad
Keyword(s):  
Performance Measurement ◽  
Abnormal Returns ◽  
Pension Funds ◽  
Factor Models ◽  
Default Probability ◽  
Investment Performance ◽  
Content Type ◽  
Measurement Models ◽  
Bond Returns ◽  
French Model

Purpose – This paper aims to examine the investment performance of pension funds in the UK using the three standard performance measurement models, the capital asset pricing model (CAPM), Fama-French model and the Carhart model. Design/methodology/approach – The authors use the CAPS-Mellon survey data for the period 1990-2008 and employ the three standard performance measurement models, the CAPM, Fama-French model and the Carhart model in assessing the investment performance of the pension funds. Findings – The authors show that the abnormal returns of pension funds cannot be fully explained by size, book-to-market values, market returns, momentum and the term spread. The authors find larger abnormal returns in bond than in equity portfolios and that smaller funds outperform larger funds. The paper also shows that the addition of the momentum factor does not improve on the three-factor Fama-French model. The authors find that pension funds exhibit superior performance relative to the linear factor models. Research limitations/implications – First, this study contributes to the extant literature on pension funds performance. Future research may also extend the authors' work to incorporate economic, tax, political and legal differences across the countries on the performance of pension funds. Second, due to data constraints, this study excludes the default probability of corporate bonds as an additional variable in their tests on bond returns. Future work may add the default probability as an additional variable whilst examining bond returns. Practical implications – The authors believe that the findings will be considerable food for thought for fund managers who continuously attempt to explore opportunities to provide a higher return to investors. Originality/value – To the authors' knowledge, this is the first comprehensive study that investigates the performance of UK equity and bond pension funds relative to standard linear factor models such as the CAPM, Fama and French, and Carhart.

scholarly journals Private Pension Fund Performance and Comparison with Basic Investment Instruments in Turkey

2015 ◽  
Author(s):  
Turgut Özkan ◽  
Özge Demirkale
Keyword(s):  
Pension Fund ◽  
Fund Performance ◽  
Pension Funds ◽  
Private Pension ◽  
Portfolio Performance ◽  
Social Expectation ◽  
The Social ◽  
Retirement Funds ◽  
Additional Income

In 2001, after the preparation of legal infrastructure in Turkey, private pension fund system started to be complementary to the Social Security system. There are many expectations from the private pension fund system both socially and economically. Social expectation is to direct individuals to alternative investment instruments to provide additional income for retirement. Economic expectation is to provide long-term funding to support the economic development. Pension fund companies have the most important responsibility to meet these expectations. In this study, the profits of investment instruments and individual pension funds are compared in a long term perspective, using three basic portfolio performance measures. The term between January 2004 and September 2014 have been considered. Investment alternatives have been discussed in detail. BIST100, deposit, gold and currency basket (USD+EUR) are the investment instruments that are compared with individual pension funds. In addition, individual pension funds have been analyzed on company basis and the achievements of the pension fund companies have been revealed during the term mentioned above. According to our analysis, it has been concluded that personal retirement funds lost value considerably, especially due to inflation.

Measurement of Pension Fund Investment Performance.

1980 ◽  
Vol 24 ◽  
pp. 33-64 ◽  
Author(s):  
D. P. Hager
Keyword(s):  
United States ◽  
United Kingdom ◽  
Performance Measurement ◽  
Pension Fund ◽  
The United States ◽  
Qualitative Assessment ◽  
Investment Performance ◽  
The United Kingdom ◽  
The Subject ◽  
Fund Investment

In the United States the theoretical and practical aspects of the measurement of investment performance have been well researched, and the investment managers and pension fund trustees are accustomed to having a battery of statistics available on the performance of a pension fund.By contrast, in the United Kingdom, attention has only really been given to this subject in this decade. It has taken time for both investment managers and trustees to appreciate the need to measure performance and to move away from a solely qualitative assessment of the ability of investment managers to one involving a quantitative element.There are just a few papers by U.K. authors on the investment performance of pension funds and the Institute has discussed the subject only once. This was in November 1976 when J. P. Holbrook presented a comprehensive paper covering both theoretical and practical aspects of performance measurement.

Actuaries, Pension Funds and Investment

1992 ◽  
Vol 43 ◽  
pp. 125-166
Author(s):  
T. G. Arthur ◽  
P. A. Randall
Keyword(s):  
Decision Making ◽  
Asset Allocation ◽  
Performance Monitoring ◽  
Pension Fund ◽  
Pension Funds ◽  
Investment Performance ◽  
Institutional Investment ◽  
Fund Investment

AbstractThe authors discuss the investment of pension and other institutional funds, stressing a theme of investing to meet liabilities. Their aim is to stimulate debate by actuaries and the investment community, leading to the development of better approaches to pension fund investment and its monitoring.The first part of the paper considers the matching of assets to liabilities, concentrating on a major principle applicable to actuarial valuations where assets and liabilities are mismatched.The paper goes on to consider principles of institutional investment and includes discussions of the meaning and measurement of risk, the setting of investment objectives, decision-making, asset allocation and investment performance monitoring.

The impact of agency costs on the investment performance of Australian pension funds

2006 ◽  
Vol 5 (3) ◽  
pp. 299-324 ◽  
Author(s):  
ANTHONY D. F. COLEMAN ◽  
NEIL ESHO ◽  
MICHELLE WONG
Keyword(s):  
Agency Costs ◽  
Pension Fund ◽  
Conflicts Of Interest ◽  
Pension Funds ◽  
Performance Difference ◽  
Investment Performance ◽  
For Profit ◽  
Not For Profit ◽  
The Impact ◽  
The Relationship

This paper evaluates the overall investment performance of Australian pension funds by examining the determinants of risk-adjusted performance, and the relationship between risk, returns, and expenses. Using quarterly return data for 225 pension funds comprising 68% of total prudentially regulated pension fund assets, we find significant differences exist across fund types. On both a net return and risk-adjusted performance basis, not-for-profit funds significantly outperformed for-profit funds over the seven years to June 2002. We suggest that the performance difference is consistent with the hypothesis that agency costs in for-profit funds (due to non-representative trustee board structures and potential board member conflicts of interest) are greater than agency costs in not-for-profit funds (with representative trustee boards).

scholarly journals Evaluation of the Financial Performance of Pension Funds. Empirical Evidence: Kosovo, Albania and North Macedonia

2020 ◽  
Vol 9 (1) ◽  
pp. 161
Author(s):  
Ibish Mazreku ◽  
Fisnik Morina ◽  
Elvis Curraj
Keyword(s):  
Financial Performance ◽  
Return On Investment ◽  
Pension Fund ◽  
Secondary Data ◽  
Fund Performance ◽  
Pension Funds ◽  
Empirical Results ◽  
Asset Value ◽  
Net Assets ◽  
The Relationship

Purpose: This research paper aims to analyze the evaluation of the financial performance of pension funds, to find the relationship between contributions, return on investment and net asset value with pension fund performance. The following research questions have been asked in order to realize the purpose of the research: What are the factors affecting the performance of the pension fund? What is the relationship between pension fund performance and contributions, return on investment, and net asset value? Methodology: For the specification of the econometric model of this study, we rely on secondary data published in official World Bank reports and reports of pension funds in Kosovo, Albania and North Macedonia. To measure the empirical results, these statistical tests are used: standard multiple regression, fixed effects model, random effect model, and Hausman Taylor Regression. Findings: Based on the empirical results, we can conclude that the increase in gross domestic product, return on investment, contributions and net assets have positively influenced the performance of pension funds for the countries included in the study. The other independent variable, the exchange rate, on the basis of econometric estimations, has turned out to be non-significant. Practical implications: The empirical results of this study may recommend that relevant institutions in Kosovo, Albania and North Macedonia undertake reforms towards the creation of efficient pension systems, and these reforms are of crucial importance for pension systems, which have an economic and social character in their function as fund accumulators and benefit distributors for the categories in need. Originality: The study is conducted with secondary data and all the empirical analysis are original based on the authors' calculations through econometric models. Through the results of this study we aim to provide additional empirical evidence on the performance of pension funds in Kosovo, Albania and North Macedonia, recommending that relevant institutions improve the functioning of the pension system, as it is a very important part of a financial system of a country which has an impact on economic growth.  Keywords: financial performance, pension fund, contributions, net assets, return on investment 

Actuaries, pension funds and investment

1990 ◽  
Vol 117 (1) ◽  
pp. 1-49 ◽  
Author(s):  
T. G. Arthur ◽  
P. A. Randall
Keyword(s):  
Decision Making ◽  
Asset Allocation ◽  
Performance Monitoring ◽  
Pension Fund ◽  
Pension Funds ◽  
Investment Performance ◽  
Institutional Investment ◽  
Fund Investment

AbstractThe authors discuss the investment of pension and other institutional funds. stressing a theme of investing to meet liabilities. Their aim is to stimulate debate by actuaries and the investment community, leading to the development of better approaches to pension fund investment and its monitoring.The first part of the paper considers the matching of assets to liabilities, concentrating on a major principle applicable to actuarial valuations where assets and liabilities are mismatched.The paper goes on to consider principles of institutional investment and includes discussions of the meaning and measurement of risk, the setting of investment objectives, decision-making, asset allocation and investment performance monitoring.

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