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 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 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 Social Investment by Union-Based Pension Funds and Labour-Sponsored Investment Funds in Canada

2002 ◽  
Vol 56 (1) ◽  
pp. 92-115 ◽  
Author(s):  
Jack Quarter ◽  
Isla Carmichael ◽  
Jorge Sousa ◽  
Susan Elgie
Keyword(s):  
Pension Fund ◽  
National Sample ◽  
Pension Funds ◽  
Investment Strategies ◽  
Social Investment ◽  
Investment Funds ◽  
Fund Investment

Summary This study has two objectives: first, to understand the extent of social investment among union-based pension funds as well as labour-sponsored investment funds in Canada; second, to understand the factors that affect social investment strategies among such funds. A national sample of 189 pension funds with assets of at least $50 million was drawn from the Canadian Pension Fund Investment Directory (Toronto: Maclean Hunter). The sample also included 10 labour-sponsored investment funds, half the number of such funds in Canada. The data indicate that pension funds in Canada have minimal social investment. There is somewhat higher social investment among labour-sponsored investment funds, and particularly labour-sponsored investment funds with genuine union sponsorship. The study also explored factors related to social investment by funds.

Rethinking Pension Fund Investment Strategies

1994 ◽  
Vol 9 (3) ◽  
pp. 397-409 ◽  
Author(s):  
E. Richard Brownlee ◽  
S. Brooks Marsha
Keyword(s):  
Financial Reporting ◽  
Pension Fund ◽  
Pension Plan ◽  
Pension Funds ◽  
Investment Strategies ◽  
Fixed Income ◽  
Fixed Income Securities ◽  
Economic Entity ◽  
Tax Arbitrage ◽  
Fund Investment

This paper addresses the need for companies to reexamine their pension fund investment strategies because of certain changes that occurred during the 1980s that enhanced the attractiveness of fixed-income securities. Of primary importance was the issuance of a new pension accounting standard that substantially changed the determination of annual pension expense, pension plan asset and liability recognition, and pension footnote disclosures. Both the concepts and the information resulting from the pension standard have promoted a more integrative perspective of the relationship between pension funds and their corporate sponsors. This broadened perception of companies and their pension funds comprising a single economic entity has important financial consequences for corporate managements and capital providers. One such consequence pertains to pension portfolios. Fixed-income securities become a more desirable pension fund investment for two principal reasons: they reduce financial reporting risk without increasing economic risk and they are an integral component of corporate tax arbitrage, a strategy initially proposed by Fischer Black in the early 1980s.

scholarly journals Aspects of manager, portfolio allocation, and fund performance in Brazil

2018 ◽  
Vol 29 (76) ◽  
pp. 82-96 ◽  
Author(s):  
Cláudia Olímpia Neves Mamede Maestri ◽  
Rodrigo Fernandes Malaquias
Keyword(s):  
Asset Allocation ◽  
Robust Statistics ◽  
Breakdown Point ◽  
Fund Performance ◽  
Investment Fund ◽  
Fixed Income ◽  
Investment Funds ◽  
Fund Managers ◽  
Portfolio Holdings ◽  
The Impact

ABSTRACT This paper intends to contribute to the literature on investment funds in emerging markets by looking at the performance of multimarket funds in Brazil from a manager perspective. The aim of the paper was to analyze whether some characteristics of investment fund managers, as well as their portfolio holdings, can affect fund performance. In emerging countries both portfolio asset allocation and manager characteristics can help explain differences in the fund performance, which increases the relevance of this study. Therefore, the impact of this research lies in its revealing a significant relationship between risk-adjusted return and the portion of portfolios allocated to fixed or variable income, which seems that have not been explored in the context of emerging economies yet. A total of 6,002 multimarket funds were analyzed, covering the period between September 2009 and December 2015, using panel data with robust standard errors clustered by funds. We also employed robust statistics in order to assess some potential biases due to outliers, by analyzing the breakdown point in the estimated models. It should be noted that portfolio composition (allocation of portfolios into variable income and fixed income) was the most important factor in explaining a potential change in the performance of Brazilian multimarket funds. Also important were the effectiveness of the management of these funds, that is, the best risk-adjusted returns were delivered by less experienced managers, funds investing more in fixed income, managers with more funds under management, and larger funds.

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.

scholarly journals Pension Fund Corporate Engagement

2004 ◽  
Vol 59 (1) ◽  
pp. 142-171 ◽  
Author(s):  
Gordon L. Clark ◽  
Tessa Hebb
Keyword(s):  
Pension Fund ◽  
Pension Funds ◽  
Management Decision ◽  
Responsible Investing ◽  
Global Standards ◽  
Management Decision Making ◽  
Anglo American ◽  
Investment Portfolios ◽  
The Impact

Pension fund capitalism is a new, albeit evolving, stage of Anglo-American capital market development. It is marked by the ability of pension funds to aggregate the widely disbursed ownership of beneficiaries and therefore act as single entities with a unified voice. Pension funds within their investment portfolios are increasingly using this voice to engage companies. Such corporate engagement in its broadest definition is the use of one’s ownership position to influence company management decision making. Corporate engagement brings together four distinct underlying currents: first, the increased use of passive index funds; second, the corporate governance movement; third, the growing impact of socially responsible investing; and, finally, the impact of new global standards. At its best corporate engagement offers a long-term view of value that both promotes higher corporate, social and environmental standards and adds share value, thus providing long-term benefits to future pension beneficiaries.

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 ANÁLISIS DE LOS FONDOS DE PENSIONES EN CHILE: PERIODO 2011-2018

2019 ◽  
Vol 12 (1) ◽  
pp. 1-9
Author(s):  
Ricardo Méndez Romero ◽  
Hernán Rocha Pavés
Keyword(s):  
Comparative Study ◽  
Financial Performance ◽  
Pension Funds ◽  
Fixed Income ◽  
Performance Models ◽  
Monthly Average ◽  
Performance Risk ◽  
Normal Configuration ◽  
Omega Ratio ◽  
Investment Portfolios

The objectives of this study are: 1) Carry out a comparative study of the performance of the different pension funds of each of the AFPs; 2) Carry out a comparative study of the historical performance of the different pension funds of each of the AFPs and compare them, in addition, with results of previous studies carried out by other authors. The scope of this paper is defined as a descriptive-correlational investigation, because it is intended to identify the results of the management of investment portfolios, without manipulating the variables of the problem, these are iden- tified and described as they occur in their context financial, to then analyze them from a temporal and quantitative comparative perspective, based on the Principle of Investor Rationality of Harry Markowitz and applying the Sharpe, Treynor, Jensen and Omega ratio as performance models. An important result observed is that, for this period of 8 years, all AFPs and funds present positive monthly average returns, even though the years 2011 and 2018 show losses, especially funds A, B and C. For their part, the benchmark of Market (IPSA) shows a negative performance. The financial performance ratios are all positive, which indicates that the performance / risk ratio is satisfied. The different returns between AFP and IPSA are explained because pension funds have a high percentage of invest- ments abroad and include fixed income instruments. A more relevant comparison would be to reference the actual results with those of an equivalent fictitious portfolio, but to date, there are no studies that allow defining the parame- ters necessary to form said portfolio. Non-traditional ratios, such as Omega, are coincident when the distributions of the results have a normal configuration. In addition, the conclusion is shared with previous studies, that the AFPs tend to keep portfolios similar to each other, trying not to fall below the profitability of the system.

scholarly journals Assessment of Financial Investors’ Assets Level and Importance on Financial Market in Poland

2015 ◽  
Vol 16 (2) ◽  
pp. 31-44
Author(s):  
Paweł Trippner
Keyword(s):  
Financial Crisis ◽  
Financial Market ◽  
Capital Market ◽  
Gross National Product ◽  
Pension Funds ◽  
National Product ◽  
Insurance Companies ◽  
Investment Funds ◽  
Investment Portfolios

AbstractThe main purpose of the submitted article is the estimation of financial investors’ potential in Poland. There are four groups of collective investors on financial market in Poland like Banks, Insurance companies, Investment funds and Open Pension Funds, which have been analyzed. Their importance on financial market and especially on capital market in Poland is still rising. The dynamics of their assets value in 2009 – 2013 periods has been analyzed. Financial investors’ assets and Gross National Product in Poland ratio has been calculated. The influence of the financial crisis and post-crisis time on the investment portfolios structure has been also reviewed.

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