scholarly journals The Return-risk Performance of Selected Pension Fund in OECD with Focus on the Czech Pension System

2016 ◽  
Vol 64 (6) ◽  
pp. 1981-1988
Author(s):  
Petr Kupčík ◽  
Pavel Gottwald
Keyword(s):  
The Netherlands ◽  
Pension Fund ◽  
Pension System ◽  
Pension Funds ◽  
Sharpe Ratio ◽  
Investment Performance ◽  
The Czech Republic ◽  
Common Features ◽  
Comparison Of The Results ◽  
Sortino Ratio

This paper focuses on the measuring and comparing investment performance of pension funds in selected European countries. Comparison of the investment performance of pension funds is determined by means of the Sharpe ratio and the Sortino ratio. We used data of nominal appreciation of pension funds from the Czech Republic, Slovakia, Poland, Sweden, Switzerland and the Netherlands in the period 2005−2013. These countries were selected because they have many common features but Sweden, Switzerland and the Netherlands were added to the analysis because we wanted to show the differences between a developed and less developed fully funded system. The last part of this article presents the main causes of the differences in investment performance of pension funds. Conclusions of the paper are focused on a comparison of the results of the Sharpe ratio and the Sortino ratio of pension funds from selected countries and recommendations for the Czech pension system. The article proposes a mechanism for determining the order of the negative Sharpe ratio and the Sortino ratio.

scholarly journals Investment fund selection techniques from the perspective of Brazilian pension funds

2022 ◽  
Vol 33 (88) ◽  
pp. 167-182
Author(s):  
Jéssica Santos de Paula ◽  
Robert Aldo Iquiapaza
Keyword(s):  
Pension Fund ◽  
Pension Funds ◽  
Sharpe Ratio ◽  
Investment Fund ◽  
Fixed Income ◽  
Investment Funds ◽  
Investment Performance ◽  
Multifactor Model ◽  
Dea Efficiency ◽  
Investment Portfolios

ABSTRACT The aim of this article was to evaluate the effectiveness of investment fund selection techniques from the perspective of Brazilian pension funds. Asset liability management (ALM) and liability driven investment (LDI) strategies are usually adopted to guide pension fund managers in relation to strategic allocation in asset classes that should compose their investment portfolios and to the liquidity needed in each period, but not specifying in which assets to allocate resources from among the infinity of assets available in the financial market. This article contributes to tactical management in the fixed income and stock segments outsourced via funds and demonstrates that adopting simple indicators can increase investment performance. The article broadens the knowledge on pension fund investment decisions and creates confidence in the adoption of the Sharpe ratio as a technique for choosing investment funds. We analyzed the returns obtained by hypothetical portfolios built using the following techniques: (i) the Sharpe ratio; (ii) the alpha of a multifactor model; (iii) data envelopment analysis (DEA) efficiency; and (iv) the different combinations of these techniques. We considered information on 369 funds from 2013 to 2018, adopting 12 temporal windows for choosing and re-evaluating the portfolios. The returns obtained were compared with the mean actuarial goal of the benefits plans administered by the pension funds, by means of the unplanned divergence (UD). When outsourcing pension fund investments in fixed income and stock investment funds it was verified that the Sharpe ratio contributes significantly to pension fund performance, compared with other indicators and techniques or a combination of them.

scholarly journals Pension Fund Management, Investment Performance, and Herding in the Context of Regulatory Changes: New Evidence from the Polish Pension System

Risks ◽  
2020 ◽  
Vol 9 (1) ◽  
pp. 6
Author(s):  
Łukasz Dopierała ◽  
Magdalena Mosionek-Schweda
Keyword(s):  
Pension System ◽  
Pension Funds ◽  
Management Style ◽  
Market Model ◽  
Herd Behavior ◽  
Investment Performance ◽  
Fund Managers ◽  
Regulatory Changes ◽  
Increased Risk ◽  
The Impact

The aim of this paper is to assess the impact of reforms introduced in the operation of Polish open pension funds on management style, risk exposure and related investment performance. The article analyzes the impact of the reformed regulations on the herd behavior of fund managers. In particular, we examined whether the elimination of the internal benchmark for fund evaluation impacts the elimination or reduction of herd behavior. We proposed a multi-factor market model to evaluate the performance of funds investing in various types of instruments. Moreover, we used panel estimation to directly take into account the impact of the internal benchmark on herd behavior. Our results indicate that highly regulated funds may slightly outperform passive benchmarks and their unregulated competitors. In the case of Polish open pension funds, limiting investments in Treasury debt instruments clearly resulted in increased risk and volatility of returns. However, it also raised competition between funds and decreased the herd behavior. Additionally, the withdrawal of the mechanism evaluating funds based on the internal benchmark was also important in reducing herd behavior.

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.

Institution of Banking Pension Provisions: Preconditions, Nature, Competition with Traditional Institutions

2015 ◽  
Vol 2015 (2) ◽  
pp. 27-55
Author(s):  
Yuriy Ezrokh
Keyword(s):  
Financial Institutions ◽  
Pension Fund ◽  
Pension System ◽  
Pension Reform ◽  
Banking System ◽  
Pension Funds ◽  
Econometric Analysis ◽  
Traditional Institutions ◽  
State Pension ◽  
Pension Benefits

The article analyzes the pension reform implemented in Russia in 2013–2014, provides the modeling of possible pensions, determines the efficiency boundaries for the use of insurance and savings-insurance schemes offered by the Pension Fund of Russia. The author examines the activities and effectiveness in managing pension savings and reserves from non-state pension funds, especially the system of voluntary savings insurance. The study identifies the challenges faced by these financial institutions, which constrain the development of the Russian pension system. Drawing on logical and econometric analysis the author identifies the competitive opportunity for banks to participate in the Pension Benefits Act, calculates the proposals’ efficiency for future retirees and the banking system as a whole, determines the contribution of the proposed solutions to enhanced competition and more competitive banking environment.

scholarly journals DEVELOPMENT OF NON-STATE PENSION FUNDS OF UKRAINE: PROBLEMS AND PERSPECTIVES

2021 ◽  
Author(s):  
Natalya Tataryn ◽  
Kateryna Zakorko ◽  
Sofia Kozar
Keyword(s):  
Pension Fund ◽  
Pension System ◽  
Public Awareness ◽  
Pension Funds ◽  
The State ◽  
Private Pension ◽  
State Pension ◽  
Private Pension System ◽  
State Pension Funds ◽  
Legal Entities

The article considers topical issues of determining the current state of development of the private pension system in Ukraine, and defines the concept of "private pension fund". In economic essence, the system of non-state pension fund is defined as an integral part of the system of accumulative pension provision, based on voluntary participation of individuals and legal entities in the formation of pension savings in order to receive additional pension contributions. Problems that hinder the development of private pension funds, namely the shadowing of wages and labor relations, lack of public awareness, lack of legislation are identified. The functioning of private pension funds in the country depends not only on reforming the existing pension system, but also on the growth of incomes, their de-shadowing and development of the financial market in general. The current pension system is not able to provide the population with the necessary pension assets. This problem can be solved by intensifying the activities of private pension funds. Emphasis is placed on the need and importance of a voluntary private pension system and its role in ensuring the development of the state economy. As world experience shows, in a market economy, the development of private pension funds is one of the important components to ensure effective functioning of the state. Private pension funds are powerful investment investors because they can mobilize additional investment resources. The main purpose of investing pension assets is to preserve the savings of the population. The main indicators of activity of non-state pension funds are analyzed, namely: pension contributions, pension payments, the number of concluded pension contracts, the amount of investment income, etc. Further trends in the development of private pension provision in Ukraine are noted, substantiated the necessary measures to intensify activities in modern economic conditions, proposed recommendations for solving existing problems of institutions. However, in implementing the proposed measures should be remembered participation of both individuals and legal entities.

Financialisation and the Pension System: Lessons from the United States and the Netherlands

2017 ◽  
Vol 15 (4) ◽  
pp. 554-584 ◽  
Author(s):  
Natascha van der Zwan
Keyword(s):  
United States ◽  
The Netherlands ◽  
Pension System ◽  
The United States ◽  
Pension Funds ◽  
The State ◽  
Investment Strategies ◽  
Private Pensions ◽  
Labour Unions ◽  
Pension Systems

Financialisation and the Pension System: Lessons from the United States and the Netherlands The articles explores the financialisation of private pensions in the United States and the Netherlands. It proposes two distinct arguments. First, the article shows that both the American and the Dutch pension systems stand out internationally for their high degrees of capitalisation and the absence of substantive investment restrictions for pension funds. The article posits that both pension systems are highly financialised, yet the process of financialisation has proceeded along different historical paths and within different institutional contexts. Secondly, the article maintains that the financialisation of pension systems is accompanied by its own political dynamics. In both political economies, different groups of actors (employers, labour unions, financial professionals) have made claims over the growing concentration of pension assets. Here, particular emphasis is given to the role of the state. It shows how since the mid-1970s, both American and Dutch pension funds have altered their investment strategies, abandoning public debt as the dominant investment category. The article explains this change in terms of the rising popularity of modern portfolio theory and the immense growth of pension capital in need of new investment options. As austerity politics have made governments more dependent on financial markets, pension funds have become more assertive in leveraging their assets and demanding political reform which are in the interest of the financial industries. Financialisation has thus fundamentally altered the balance of power between the state and financial market actors.

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 Pension fund governance: The Polish experience

2014 ◽  
Vol 11 (3) ◽  
pp. 349-357
Author(s):  
Adam Samborski
Keyword(s):  
Pension Fund ◽  
Pension System ◽  
Pension Funds ◽  
Small Fragment ◽  
Fund Management ◽  
Pension Systems ◽  
Pension Fund Management ◽  
Polish Experience ◽  
Fund Governance

Despite a comprehensive pension related debate held on the governmental level and in media in Poland, little time was spent, however, on discussing nature and usefulness of governance in the context of pension systems aimed at would-be-pensioners. Attention is predominantly paid to the role of governance for investments. Unfortunately, governance is not addressed, with reference to pension funds, the way it should be. The author is looking for answers to questions about the state of pension fund governance in Poland, thus trying to find methods for improvement. Nevertheless, this text concentrates on a small fragment of the pension system in Poland. The article aims at attempting identification of issues to be faced by governance in voluntary pension funds that are managed by universal pension fund management companies.

scholarly journals Alternatives to Serve the Interests of Russian Pensioners

2020 ◽  
Author(s):  
Elena Ivanovna Kulikova
Keyword(s):  
Growth Rate ◽  
Labor Market ◽  
Older People ◽  
Pension Fund ◽  
Statistical Data ◽  
Pension System ◽  
Pension Funds ◽  
Living Standards ◽  
Retirement Age ◽  
Negative Phenomena

The results of the analysis of statistical data on the Russian labor market, employment and wages, as well as the specific features of the Russian pension system, provide the basis for several important conclusions. Firstly, the living standards of the majority of Russian pensioners do not meet their needs as the Russian pension system is focused on the achievement of minimum living standards. Secondly, the regulation on the functioning of the pension system established by Russian legislation is often violated by the regulators without coordination with economic entities and citizens, participants of the pension system, which prevents future pensioners from feeling protected upon retirement. For this reason, citizens of the retirement age do not seek to retire even when they reach the retirement age. The growth rate of working pensioners (who pay taxes, including insurance deductions to the Pension Fund of Russia and private pension funds) confirms this. Thirdly, there is a need to create a socially-comfortable environment for pensioners, to counteract the psychological problems of older people their sense of “uselessness” to society. The article proposes practical measures to mitigate the negative phenomena in the pension provision of Russian citizens.

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