Pension Risk Management eJournal最新文献

{"title":"Pensions and ESG: An Institutional and Historical Perspective","authors":"P. Hammond, Amy O'Brien","doi":"10.2139/ssrn.3936028","DOIUrl":"https://doi.org/10.2139/ssrn.3936028","url":null,"abstract":"Sustainable investing is growing into its moment. Funded pensions, which were among the first institutions to respond to sustainability concerns, are showing renewed interest in better ways to reflect responsible investing objectives, along with regulators, asset managers and shareholder groups. Looking back, the principal elements of sustainability—environmental, social and governance (ESG)—all have different origins and took different pathways. Looking across, sustainable investing developed differently depending on region and country. Viewing it today, we see the trend toward E, S, & G convergence—of definition, process and organization—toward a more integrated investment perspective and process. With growing asset size, funded pensions, sovereign wealth funds and other large institutional investors became ‘universal owners’ and, along with thought leaders and regulators, drove the evolution of sustainable investing toward the more systematic set of tools and policies we see today. Looking forward, questions remain, such as who will be most influential in determining the future of sustainable investing—pensions and other institutional investors, governments, shareholders and companies-- as well as what it will look like. As such, sustainability remains a work in progress and pensions are in a strong position to shape its evolution.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132131439","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Superannuation Fees, Asset Allocation and Fund Performance","authors":"Andrew Ainsworth, Shumi M. Akhtar, A. Corbett, Adrian D. Lee, T. Walter","doi":"10.2139/ssrn.3922413","DOIUrl":"https://doi.org/10.2139/ssrn.3922413","url":null,"abstract":"Superannuation fees have come under public scrutiny in recent years with the belief they are too high. We examine the determinants of fees and their relationship with fund performance. Superannuation funds with higher investment fees have higher allocations to asset classes that trade in more complex markets. For-profit retail funds charge both higher investment and administration fees than other funds. Funds with higher investment fees do not generate higher returns than the least expensive funds. These findings suggest that superannuation members may not earn higher after-fee risk-adjusted returns by holding funds with higher fees. G11","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"145 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114935040","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"affine_mortality: A Github Repository for Estimation, Analysis, and Projection of Affine Mortality Models","authors":"F. Ungolo, M. Sherris, Yuxin Zhou","doi":"10.2139/ssrn.3912983","DOIUrl":"https://doi.org/10.2139/ssrn.3912983","url":null,"abstract":"This short paper provides tutorial guidance in the use of the R files within the Github repository affine_mortality containing the code used to fit, examine and compare continuous-time affine mortality models. The final implementation will be available as the R package AffineMortality. Throughout this tutorial, we provide a discussion of how the code works in order to effectively estimate and project the models, and describe the functions available therein. Some illustration of the code for the analysis of the US dataset is provided.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126212333","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Investing for Retirement Income: A Comparison of Asset Allocations and Spending Strategies","authors":"Mathieu Pellerin","doi":"10.2139/ssrn.3881168","DOIUrl":"https://doi.org/10.2139/ssrn.3881168","url":null,"abstract":"We study the performance of different investment and spending strategies for retirement. Investment strategies include wealth-focused glide paths that combine equities with short-term, high-quality fixed income. We also consider an income-focused glide path that combines a moderate equity allocation at retirement and an inflation-protected bond portfolio that uses liability-driven investing. Spending rules include fixed spending (similar to the 4% rule), flexible spending, as well as nominal and real annuitization. We examine simulated lifetimes with either stochastic longevity or fixed longevity of 30 years in retirement.<br><br>We find that, for all spending strategies, an income-focused asset allocation delivers similar retirement income to the wealth-focused allocations we study while offering better protection against market, interest rate, and inflation risk. We also find that a glide path with an LDI portfolio offers a better tradeoff between income growth and income risk management. Finally, our results suggest that high equity exposure in retirement is an inadequate tool to manage longevity risk.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"49 4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122554157","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Origins of ESG in Pensions: Strategies and Outcomes","authors":"S. Lachance, J. Stroehle","doi":"10.2139/ssrn.3900120","DOIUrl":"https://doi.org/10.2139/ssrn.3900120","url":null,"abstract":"As intergenerational stewards of capital, pension funds can have many good reasons to embrace environmental, social, and governance (ESG) issues in their investment practices. Yet the particular structure of pension funds creates both advantages and disadvantages for the integration of ESG. This paper reviews the historical origins, regulatory mandates, and fund structures of pensions, to tease out exactly which of these characteristics enable and which of them impede the inclusion of ESG at pension funds. We use the case of PSP Investments to lend depth to the application of the strategies that emerge in the pensions industry.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"161 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122862507","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Elusive Relation Between Pension Discount Rates and Deficits","authors":"Seth Armitage, Rónán Gallagher, Jiaman Xu","doi":"10.2139/ssrn.3514448","DOIUrl":"https://doi.org/10.2139/ssrn.3514448","url":null,"abstract":"The relation between defined-benefit pension discount rates and funding status is more complex than it might first appear. Existing evidence suffers from estimation biases which makes precise inference unreliable. We document the biases and quantify their impact on inference in relation to corporate window dressing of DB funding status. Our empirical evidence from the UK suggests that pension sponsors use discretion in choice of pension discount rate not only to reduce reported deficits, but also to reduce reported surpluses.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127155250","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Pension Benefit Guaranty Corporation’s Claim Calculation Method in Bankruptcy: Erisa’s Valuation Regulation, or the Prudent-Investor Standard?","authors":"Shearil Matthews","doi":"10.2139/ssrn.3824413","DOIUrl":"https://doi.org/10.2139/ssrn.3824413","url":null,"abstract":"Bankruptcy proceedings can be challenging and daunting for debtors, especially when a new claim is introduced during the proceedings. This has happened in cases of the Pension Benefit Guaranty Corporation (“PBGC”) unfunded benefit liability claims. When the PBGC files a claim, it is met with challenges from the debtor. One of the debtor’s challenges is whether the PBGC’s unfunded pension benefits claim is subjected to ERISA’s Valuation Regulation or the bankruptcy principles. Applying bankruptcy principles might allow the court to modify the PBGC’s claim with different interest rates, discount-rate assumptions, or use some other approach to determine the claim’s present value. In 2017 the Southern District of Georgia ruled on ERISA’s Valuation Regulation in Pension Benefit Guarantee Corp. v. Durango Georgia. The court ruled that PBGC’s unfunded benefits liability should be calculated using ERISA’s Valuation Regulations. <br><br>An examination of the Durango decision with other ERISA’s Valuation Regulation decisions reveals that bankruptcy courts have not been consistent with how they approach and calculate the PBGC’s claim for unfunded pension benefits. Initially, the courts ruled that bankruptcy valuation principles were controlling, reasoning that ERISA and the Bankruptcy Code conflicted. Later, the courts ruled that ERISA and the Bankruptcy Code do not conflict because ERISA is the controlling law. The courts based their decisions on their understanding of the Bankruptcy Code and ERISA, giving rise to the varying judgments. The different holdings put the bankruptcy courts’ equity principle in jeopardy. However, one can argue that the bankruptcy court’s equity principle is infringed because of the different treatment.<br><br>This Article examines bankruptcy courts’ use of ERISA’s Valuation Regulation to calculate the PBGC’s unfunded benefit liability claim and explores other calculation methods. The Article introduces a different approach, the prudent-investor standard, proposed by debtors and the reasoning for a different approach. The author provides a timeline of cases to illustrate the different court holdings on the same issue. The Article concludes with the author suggesting that bankruptcy courts or the legislature act to create one standard of calculation for PBGC’s claim to align bankruptcy courts, create harmony, and aid the court in its equity principle. <br><br>","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132898466","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Three Decades of Global Institutional Investment in Real Estate","authors":"A. Carlo, Piet Eichholtz, N. Kok","doi":"10.2139/ssrn.3802518","DOIUrl":"https://doi.org/10.2139/ssrn.3802518","url":null,"abstract":"Alternative assets represent an increasing share of pension fund assets, and real estate is a cornerstone of that allocation. This paper investigates the trends in pension fund real estate investments over the last three decades, both in private and in public real estate, focusing on the performance of the asset class for the ultimate asset owners. The development of pension fund allocations to real estate differs across regions, with allocations increasing in Canada, stationary in the U.S., and shrinking in Europe. Just over 10% of the real estate exposure is through publicly listed vehicles. Within the real estate portfolio, the authors observe a continuing increase in the use of external fund managers. Investment costs are stationary, with pension funds in the U.S. structurally paying more to their external private real estate managers than their peers in Canada and Europe. Costs relating to public real estate are more equal across regions. In terms of performance, the authors observe rather stable total returns for both private and listed real estate over the last three decades, contrasting volatile performance of private equity and infrastructure. Intermediated investment management for private real estate is costly, leading to disproportionately lower net returns.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115278725","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"An Empirical Guide to Investor-Level Private Equity Data from Preqin","authors":"Juliane Begenau, Claudia Robles-Garcia, E. Siriwardane, Lulu Wang","doi":"10.2139/ssrn.3764895","DOIUrl":"https://doi.org/10.2139/ssrn.3764895","url":null,"abstract":"This note provides guidance on the use of investor-level private equity data from Preqin for empirical research. Preqin primarily sources its cash flow data through Freedom of Information Act (FOIA) requests with U.S. public pensions. Our focus is on the components of these data that are used for calculating returns on investments made by individual public pensions into private market vehicles, most notably private equity. We discuss how accounting practices may impact cash flow variables, document the prevalence of data quality and other measurement error issues, and recommend transparent adjustments that deliver reliable estimates of net-of fee returns that are comparable across investors and time.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"35 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125168195","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Optimal Default Options: The Case for Opt-Out Minimization","authors":"B. Bernheim, Jonas Mueller Gastell","doi":"10.2139/ssrn.3749537","DOIUrl":"https://doi.org/10.2139/ssrn.3749537","url":null,"abstract":"We examine the desirability of opt-out minimization, a well-known and simple rule of thumb for setting default options such as passively selected contribution rates in employee-directed pension plans. Existing results suggest that this strategy is welfare-optimal only under highly restrictive assumptions. In this paper, we dispense with those assumptions and demonstrate far more generally that opt-out minimization is approximately optimal. Our main results require only a small number of weak regularity conditions. We also conduct simulations to evaluate the accuracy of the approximation, as well as the robustness of our conclusions with respect to additional dimensions of heterogeneity. We conclude that opt-out minimization is not only practical, but also has a solid and general normative foundation.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"254 8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129987755","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}