Pension Risk Management eJournal最新文献

{"title":"Individual Tontine Accounts","authors":"Richard K. Fullmer, Michael J. Sabin","doi":"10.2139/ssrn.3217551","DOIUrl":"https://doi.org/10.2139/ssrn.3217551","url":null,"abstract":"An individual tontine account (ITA) is an investment product similar to a conventional brokerage account, but with the added feature of mortality pooling through participation in an open-ended fair tontine. The ITA exploits the property that participants in a fair tontine need not be confined to a common investment portfolio or to a common payout method. Instead, participants are allowed to select and trade investments as they wish and to choose from a variety of payout methods, with each participant's results being largely unaffected by the investment and payout choices of others. We envision the ITA as being complementary to an individual retirement account (IRA), allowing retirees to derive extra income from savings without taking on additional investment risk and to obtain lifetime income at a lower cost than with comparable insurance products. The mortality-pooling features of ITAs compare favorably to those of insurance products. The cost per dollar of income is lower. The opportunity for individual choice is increased. Fees are transparent rather than opaque. Accounting is transparent and conveyed simply on account statements. The downside of ITAs is that income from mortality pooling is not guaranteed, and a participant might experience less income than hoped for if other participants live longer than expected. \u0000 \u0000ITAs represent a new arrow in the quiver for addressing global retirement needs and may address the “annuity puzzle” by giving retirees a more transparent, lower-cost alternative to insurance-based products.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123127092","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":"Transparent Alignment in Investment Research: From Unbundling to Relational Contracting","authors":"Ashby H. B. Monk, Dane P. Rook, Neil Scarth","doi":"10.2139/ssrn.3209952","DOIUrl":"https://doi.org/10.2139/ssrn.3209952","url":null,"abstract":"Unbundling fees for financial services – e.g., separating payments for third-party research from commissions for trade execution – is in the long-term best interests of institutional asset owners: it can increase both transparency and alignment with intermediaries, such as external asset managers. Yet how unbundling takes place can be a major determinant of when its benefits for asset owners are realized. That is, for asset owners, long-term gains from unbundling can come at a cost of short- term pain – as recent experiences under MiFID II demonstrate. In this paper, we explore paths for increasing transparent alignment between asset owners and their external asset managers over both short and long horizons. We argue that ‘research budgets’ are a crucial tool to this end, because they could support deeper relational contracts between asset owners and managers. We discuss how emerging lessons from MiFID II show a need for institutional asset owners to take a proactive role in understanding not only their asset managers’ spending on third-party research, but also how that research generates value-for-money in terms of alignment with those managers’ intended investment strategies and processes. More participatory research budgeting could also help asset owners’ relationships with their external asset managers in areas beyond research spending, e.g., in better controlling style drift, monitoring ESG efforts, and doing more rigorous performance attribution.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130682819","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 Effect of Social Investment on the Sustainability of Korea National Pension Fund","authors":"W. Choi, Jin-joo Lee, W. Kim","doi":"10.2139/ssrn.3179870","DOIUrl":"https://doi.org/10.2139/ssrn.3179870","url":null,"abstract":"Currently, Korea’s National Pension Plan is the third-largest public pension in the world. According to its financial projections from 2013, the Pension fund’s accumulated amount is expected to reach its highest point — as much as 50% of the nation’s GDP by 2043. However, experts predict that this immense fund will eventually be exhausted by 2060 due to Korea’s aging population and low fertility rate. In this paper, we develop an optimization model to calculate the effect of an investment in raising the national fertility rate on the Pension Plan. In addition, with an asset-liability management model, we examine if the investment in raising the fertility rate can improve the overall sustainability of the National Pension Fund. We show that under some conditions, the investment in raising the fertility rate enhances the National Pension Fund’s sustainability. We therefore, conclude that an investment in population growth is potentially a feasible investment option for the National Pension Plan.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126044079","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":"Apples and Oranges: A Comparison of the Key Features of the Legislative and Regulatory Framework for UK and Dutch Defined Benefit Pension Schemes (Including Dutch CDC Schemes)","authors":"P. Bennett, H. V. Meerten","doi":"10.2139/ssrn.3163137","DOIUrl":"https://doi.org/10.2139/ssrn.3163137","url":null,"abstract":"The UK and the Netherlands have different legal and regulatory regimes for defined benefit pension schemes. This paper compares and contrasts the key features of those regimes. The UK allocates all of the underfunding risk in a UK defined benefit pension scheme to the employer, backed up by the Pension Protection Fund in the event of the insolvency of the employer. In the Netherlands, the risk of an underfunding in a defined benefit scheme or CDC Scheme is shared amongst the members. There is no Pension Protection Fund. However, the funding standards in the Netherlands are prescriptive (in part because a Dutch pension fund is treated as a “regulatory own fund” for the purposes of Article 17 of the IORP I Directive (Directive 2003/41/EC)). The length of time for making good a deficit is prescribed with the benefits having to be reduced if the deficit is not made good to the required minimum funding standard within 5 years. In the UK defined benefit pension schemes are not regulatory own funds. Funding standards are based on “prudence” and account is taken of support of the employer (the “employer covenant”). Furthermore, there is considerable flexibility in the period over which a deficit in a UK defined benefit pension scheme is to be made good.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132309097","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":"Исследование Методов Инвестирования Пенсионных Накоплений в России и в Мире (Investigation of the Methods of Investing Pension Savings in Russia and in the World)","authors":"A. Radygin, Alexander E. Abramov, Ksenia Akshentseva, M. Chernova","doi":"10.2139/SSRN.3147844","DOIUrl":"https://doi.org/10.2139/SSRN.3147844","url":null,"abstract":"Russian Abstract: Авторами проведен анализ эффективности управления портфелями пенсионных накоплений НПФ за 2005-2016 гг. Показано, что на долгосрочном временном интервале портфелям пенсионных накоплений в НПФ пока не удалось переиграть инфляцию. Существенным остается разрыв между доходностью портфелей НПФ и доходностью инвестирования пенсионных накоплений на индивидуальных пенсионных счетах граждан в НПФ. Исходя из сложившейся структуры портфелей пенсионных в НПФ была рассчитана потенциальная доходность их портфелей, которая оказалась почти на 3 процентных пункта выше фактической доходности от управления данными портфелями, публикуемой НПФ. Анализ доходности портфелей НПФ с учетом риска показал, что на 10-летнем временном горизонте доходность фондов лежит близко к множеству оптимальных портфелей по Марковицу. Это говорит о том, что основная проблема в эффективности портфельного управления пенсионными накоплениями лежит не в результативности самих НПФ, а ограниченности инструментов внутреннего рынка с точки потенциала доходности и риска. English Abstract: The authors conducted an analysis of the effectiveness of managing the pension savings portfolio of APF for 2005-2016. It is shown that in the long-term time interval, pension accumulation portfolios in APFs have not yet managed to outbid inflation. The gap between the profitability of APF portfolios and the profitability of investing pension savings on individual pension accounts of citizens in APF remains significant. Based on the existing structure of pension portfolios in APF, the potential profitability of their portfolios was calculated, which turned out to be almost 3 percentage points higher than the actual yield from portfolio management published by APF. The analysis of yields of APF portfolios taking into account the risk has shown that at a 10-year time horizon, the profitability of funds lies close to the set of optimal portfolios for Markowitz. This suggests that the main problem in the effectiveness of portfolio management of pension savings lies not in the effectiveness of the APF itself, but in the limitations of the instruments of the domestic market from the point of potential of profitability and risk.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123079465","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":"Impact of Asset Allocation and Operational Structure on the Investment Performance of Australian Superannuation","authors":"Wilson N. Sy","doi":"10.2139/ssrn.3144097","DOIUrl":"https://doi.org/10.2139/ssrn.3144097","url":null,"abstract":"In the first paper, the lacklustre investment performance of Australian superannuation was attributed to the Retail sector. This second paper investigates potential explanations for this fact through an empirical attribution analysis of the impact of asset allocation, operational structure and scale on sectoral investment performance. Since 2004, relatively lower investment returns of the Retail sector have not been compensated by lower risk, due to unexpectedly higher return volatility. This fact can be explained by significant costs neglected in most academic theories. \u0000Using official asset allocation data available from the Australian Prudential Regulation Authority (APRA), for the three years to September 2016, the 2.7 percent per annum difference in measured investment performance between the Industry and Retail sector has been attributed 1.1 percent to asset allocation and 1.6 percent to operational structure and costs. The high cost of Retail funds (incurred but not reported) is consistent with the high incomes and profits reported annually by vertically integrated conglomerates from providing superannuation and related financial services. \u0000At March 2017 Retail assets of $577 billion, the 2.7 percent return deficit relative to Industry funds represents about $15.5 billion per annum in additional costs to Retail members. Empirically, but contrary to the theory of economic rationalism, the market approach to superannuation, based on competition and profit maximization of the Retail sector, has been detrimental to members.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129903375","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":"Do Unfunded Obligations of Public-Sector Pension Plans get Capitalized into House Prices?","authors":"Sutirtha Bagchi","doi":"10.2139/ssrn.3459182","DOIUrl":"https://doi.org/10.2139/ssrn.3459182","url":null,"abstract":"This paper examines the degree to which unfunded obligations of public-sector pension plans are capitalized into house prices. While there has been a growing focus on the size of unfunded pension obligations of state and local governments, their impact on local housing markets has been far less analyzed. Given the large number of local pension plans from the state of Pennsylvania, we turn to the state. Using data on house prices from the Decennial Census of 1990 and 2000 and the 2007-2011 American Community Survey, we find no evidence that unfunded pension obligations are capitalized into house prices.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"423 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125735418","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 Portfolio in Corporate Pension Plans: Risk Shifting and Risk Management","authors":"Katarzyna Romaniuk","doi":"10.2139/ssrn.3116544","DOIUrl":"https://doi.org/10.2139/ssrn.3116544","url":null,"abstract":"We derive the optimal corporate pension portfolio policy in a consolidated setting in the presence of PBGC insurance. The paper's result formalizes the forces of risk shifting and risk management that shape the form of the corporate pension portfolio. As in Rauh (2009), the risk-shifting and risk-management incentives increase when a sponsoring company runs into financial trouble. Unlike Rauh (2009), we show that risk management must not constitute a force countering risk shifting. On the contrary, for a company registering serious financial problems, the strategies driven by risk-shifting and risk-management motives are both extreme.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115695910","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":"Are the Risk Attitudes of Professional Investors Affected by Personal Catastrophic Experiences?","authors":"Gennaro Bernile, Vineet Bhagwat, Ambrus Kecskés, P. Nguyen","doi":"10.2139/ssrn.3024983","DOIUrl":"https://doi.org/10.2139/ssrn.3024983","url":null,"abstract":"We adopt a novel empirical approach to show that the risk attitudes of professional investors are affected by their catastrophic experiences – even for catastrophes with no economic impact on these investors or their portfolio firms. We study the portfolio risk of U.S.-based mutual funds that invest outside the U.S. before and after fund managers personally experience severe natural disasters. Using differences-in-differences, we compare managers in disaster versus non-disaster counties matched on prior disaster probability and fund characteristics. We find that monthly fund return volatility decreases by roughly 60 bps in year 1 and the effect disappears by year 3. Systematic risk drives the results. Additional analyses rule out wealth effects (using disasters with no damages) and managerial agency, skill, and catering explanations.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126979054","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":"Playing with your Future: Who Gambles in Defined-Contribution Pension Plans?","authors":"G. Clark, Maurizio Fiaschetti, P. Tufano, Michael Viehs","doi":"10.2139/ssrn.2643616","DOIUrl":"https://doi.org/10.2139/ssrn.2643616","url":null,"abstract":"In this article, we investigate the relationship between volatility in the stock market and the trading behaviour of employees in defined-contribution (DC) pension schemes. We found that 10% of our sample exhibited compulsive gambling behaviour; in other words, they both ‘fed’ and ‘fed-off’ volatility, and that their individual attributes such as gender, experience in the firm and age clearly influenced their trading behaviour. Our findings shed new light on the behavioural drivers of financial decision-making in a saving-for-retirement setting, and on the crucial importance of the need for the financial industry and policy makers to address the growing onus put on ill-equipped non-professional financial decision makers.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125967736","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}