Pension Risk Management eJournal最新文献

{"title":"Pension Funds and the Impact of Switching Regulation on Long-Term Investment","authors":"Alvaro Pedraza, Olga Fuentes, Pamela Searle, F. Stewart","doi":"10.1596/1813-9450-8143","DOIUrl":"https://doi.org/10.1596/1813-9450-8143","url":null,"abstract":"This paper looks at the impact of members' ability to switch pension fund provider and /or portfolio on the allocation of pension funds to long-term investments. The level of annual turnover in pension fund portfolios was compared with the amount of short-term investments (using government treasury bills and bank deposits as proxy). The investment regulations around switching and other market conduct were then considered. The paper finds that greater movements between pension fund providers and between portfolios is linked to increased holdings of short-term and more liquid assets. Switching appears to be driven by competition, market structure, and investment advice, and, unfortunately, frequently results in poor investment returns for members. The paper makes six recommends for regulators. First, use administrative controls to prevent fraudulent switching between pension providers. Second, provide clear performance and cost comparisons to inform members' choice of provider/fund and encourage informed decision making, which is beneficial for members and the system. Third, supervise and control advertising and marketing (including reporting of performance periods) carefully, to avoid switches based on misleading advice. Fourth, control financial incentives for sales agents, so that switching advice is given in members' interest and not for commercial gain. Fifth, concentrate issuance in government securities, to create more liquid instruments. And sixth, conduct further research on the concept of a central liquidity pool to manage unexpected outflows.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"2020 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134225538","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 Investment Value of Fund Managers’ Experience Outside the Financial Sector","authors":"G. Cici, Monika Gehde-Trapp, Marc-André Goericke, A. Kempf","doi":"10.2139/ssrn.2498797","DOIUrl":"https://doi.org/10.2139/ssrn.2498797","url":null,"abstract":"We document that prior work experience of mutual fund managers outside of the asset management industry is valuable from an investment perspective in that it provides managers with a stock picking and industry timing advantage. Fund managers' stock picks from industries where they previously worked outperform stock picks from their non-experience industries by about three percent annually. Also, fund managers are better at timing the returns of their experience industries than those of other industries. Moreover, the investment value of managers' prior work experience is greater for industries comprised of stocks that are harder to value.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"15 43","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120844792","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":"Locally Adapt Risks Minimizing","authors":"S. Chule","doi":"10.2139/ssrn.2982377","DOIUrl":"https://doi.org/10.2139/ssrn.2982377","url":null,"abstract":"The significant excess of the price of risk, research question in the version paper, [S. Chule, in Applied Mathematical Finance, submitted June 2016], is space-domain form re-evaluated into the stochastic problem objective of the premium risk. The adapts of the conventional generic replication method for the volatility risk is dissipative on the structure of the quadratic hedging approach. The computations performed, quantum composite for k=1 K financial assets over, the K geometric states, perfect sub-state sparsity of the functional-form adapt in the generated Weiner process and the mid-long term period of 58 months. The relative, state-space dependence adversity are deduced in the JSE-FINI index (J212) using the risk-free Repo interest rates.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116563006","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":"Approximate Solutions to Retirement Spending Problems and the Optimality of Ruin","authors":"F. Habib, Huang Huaxiong, M. Milevsky","doi":"10.2139/ssrn.2944125","DOIUrl":"https://doi.org/10.2139/ssrn.2944125","url":null,"abstract":"Milevsky and Huang (2011) investigated the optimal retirement spending policy for a utility-maximizing retiree facing a stochastic lifetime but assuming deterministic investment returns. They solved the problem using techniques from the calculus of variations and derived analytic expressions for the optimal spending rate and wealth depletion time under the Gompertz law of mortality. Of course, in the real world financial returns are stochastic as well as lifetimes, raising the question of whether their qualitative insights and approximations are generalizable or practical. \u0000We solve the retirement income problem when investment returns are indeed stochastic using numerical PDE methods, assuming the principles of stochastic control theory and dynamic programming. But then -- and this is key -- we compare the proper optimal spending rates to the analytic approach presented in Milevsky and Huang (2011) by updating the portfolio wealth inputs to current market values. Our main practical conclusion is that this simplistic approximation when calibrated properly and frequently can indeed be used as an accurate guide for rational retirement spending policy. \u0000As a by-product of our PDE-based methodology, our results indicate that even though the wealth depletion time is no longer a certainty under stochastic returns, the expected age at which liquid wealth is exhausted (i.) takes place well before the maximum lifetime and (ii.) is also well approximated by our analytical solution.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"53 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121571665","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":"Non-Myopic Betas","authors":"S. Malamud, G. Vilkov","doi":"10.2139/ssrn.2694573","DOIUrl":"https://doi.org/10.2139/ssrn.2694573","url":null,"abstract":"We introduce non-myopic investors into the standard conditional Capital Asset Pricing Model. In equilibrium, the intertemporal hedging demand of non-myopic investors leads to a two-factor CAPM in which risk premiums are determined both by the market (myopic) beta and by the “non-myopic beta,” with respect to the future return on the mean-variance efficient portfolio. We identify this efficient portfolio non-parametrically as a solution to a fixed-point problem, and use it to estimate the non-myopic betas. We show that non-myopic betas are indeed priced in the cross-section of stock returns, and the relationship between expected returns and non-myopic betas is monotone increasing and economically significant. Using U.S. mutual fund data, we find that non-myopic betas of mutual fund returns are negatively related to their long-term Sharpe ratios, in agreement with theoretical predictions. In the presence of funding constraints, our model predicts that a low non-myopic beta is associated with a higher alpha. We confirm this prediction by constructing a “Betting Against Non-Myopic Beta” factor and showing that it generates superior performance over and above a number of factor models.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115243234","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":"Pension Fund Perils: Why Conventional Pairing of LDI with De-Risking Glide Paths Produces Inferior Outcomes","authors":"Milla Krasnopolsky, M. Ashton","doi":"10.2139/ssrn.2914659","DOIUrl":"https://doi.org/10.2139/ssrn.2914659","url":null,"abstract":"Combined use of traditional Liability Driven Investment (LDI) and funded status responsive de-risking strategies should be decoupled or rebuilt. Embedded inconsistencies in the treatment of risks in these two elements of what has become a popular pension strategy cause irreconcilable conflicts in their execution and imperils the positive pension fund outcome. \u0000This article provides a critique of the combined LDI/de-risking Glide Path strategy as currently implemented by many pension plan managers and also provides an example of an alternative solution that better improves pension plan outcomes.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"135 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114670899","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 Spanish Public Pension System: Current Situation, Challenges and Reform Alternatives (El Sistema Público De Pensiones En España: Situación Actual, Retos Y Alternativas De Reforma","authors":"Pablo Hernández de Cos, J. Jimeno, R. Ramos","doi":"10.2139/ssrn.2902554","DOIUrl":"https://doi.org/10.2139/ssrn.2902554","url":null,"abstract":"espanolEl deficit del Sistema de la Seguridad Social espanol alcanzo un 1,5 % del PIB en 2015, que contrasta con el superavit observado antes de la crisis economica, del 2,2 % del PIB en 2007. Este deterioro se debe, sobre todo, a un incremento del gasto en pensiones contributivas (en % del PIB), como resultado del incremento de la tasa de dependencia, el aumento de la tasa de sustitucion de las pensiones y la caida de la tasa de empleo. Mas alla de esta situacion de corto plazo, el sistema publico de pensiones espanol se enfrenta, como los del resto de los paises desarrollados, a retos importantes causados por la expectativa de un aumento signifi cativo de la longevidad y, consecuentemente, de la proporcion de la poblacion en edad de jubilacion. En este contexto, este documento tiene como objetivo contribuir al debate sobre la situacion del sistema de pensiones mediante el analisis de su evolucion reciente, las previsiones hacia el futuro, que incorporan el impacto de las ultimas reformas, y los retos pendientes. EnglishThe Spanish Social Security System’s deficit rose to 1.5% of GDP in 2015, in contrast to a pre-crisis surplus of 2.2% of GDP in 2007. This deterioration is primarily due to an increase in contributory pension spending (as a % of GDP), as a result of the rise in the dependency ratio, the increase in the pension replacement rate and the decline in the employment rate. Beyond this short-term situation, the Spanish public pension system, as is the case in other developed countries, faces major challenges arising from expectations of signifi cant longevity gains and the attendant growth of the retirement-age population. In this context, this paper aims to contribute to the debate on the situation of the pension system through an analysis of its recent evolution, forward-looking projections that include the impact of the latest reforms and the challenges outstanding.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122346303","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":"Prefunded Pension Systems: Recent Developments","authors":"K. Niemietz","doi":"10.2139/ssrn.3852880","DOIUrl":"https://doi.org/10.2139/ssrn.3852880","url":null,"abstract":"From the mid-1990s to the onset of the financial crisis, prefunded pension systems, based on individual retirement savings accounts, were spreading around the world. The UK was initially a world leader in this, due to the system of contracting out, which had allowed people to opt out of part of the state pension scheme and save for their own pension instead. Since 2008, there has been a global U-turn. Private pension systems are now in retreat and the old-fashioned paternalistic welfare state is reasserting itself. The UK is no exception. The contracting-out system, which worked so well for over half a century, has now been ended. Even in Chile, which has long been regarded as the ‘Mecca’ of private prefunded pensions, the mood has turned against that system. If even Chile has lost faith in privatisation and prefunding, what hope is there for an expansion of such systems elsewhere? It is therefore necessary for international observers to interpret the Chilean experience correctly. However unpopular it may be at the moment, it remains the case that Chile’s private pension system has been a success story. It has provided consistently high rates of return and it has been an active ingredient in the country’s rapid economic development. The reason why pensions in Chile have fallen behind expectations is insufficient savings, not any ‘failures’ of the system as such. Only one in three men, and one in four women, save regularly, and in addition, the contribution rate and the retirement age are set too low. The system offers decent pensions and excellent value for money to those who save regularly. But it cannot magically turn a record of sporadic savings into a comfortable old-age living standard – and nor could any other pension system. Whatever problems the Chilean prefunded system may have, these are highly country-specific, and not applicable to the UK. In order to defuse the ‘demographic time bomb’, the UK would do well to reanimate its successful system of contracting out, and promote private pension savings.<br>","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124385619","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 Rules of an Occupational Retirement Fund and the Problem of Defaulting Employers: A Reconsideration of Orion Money Purchase Pension Fund (SA) v Pension Funds Adjudicator","authors":"T. Nkosi","doi":"10.17159/1727-3781/2016/V19I0A1663","DOIUrl":"https://doi.org/10.17159/1727-3781/2016/V19I0A1663","url":null,"abstract":"This paper reflects on the ongoing challenges presented by certain employers who, whilst deducting occupational retirement fund contributions from their employees' salaries, fail to pay over those contributions to the relevant occupational retirement funds. These employers also often fail to register themselves or their employees as participating members of occupational retirement funds when they are supposed to. Such failures to register with the relevant occupational retirement funds and to pay over fund contributions have disastrous effects on the employees who are at the receiving end of these unlawful practices. This is the case because employees lose the value and use of their salaries through the deductions, and also the benefits of their occupational retirement funds. Although the Pension Funds Act 24 of 1956 is sufficiently responsive and provides adequate mechanisms to guide against this scourge, it is this paper's argument that occupational retirement funds themselves have not done their bit in enforcing the Pension Funds Act . The failure on the part of the funds to enforce the Pension Funds Act by ensuring that fund contributions are collected from participating employers has resulted in, and continues to result in, untold losses on the part of the employees. Properly considered, the paper submits that the failure by occupational retirement funds to enforce the Pension Funds Act has the potential of unjustifiably limiting several of the employee members' constitutional rights. It is not good enough, so argues the paper, for occupational retirement funds to have rules that prohibit them from paying retirement fund benefits where no contributions have been received. It is also not good enough for courts and the office of the PFA to blindly enforce the rules of occupational retirement funds without consistently subjecting them to the Pension Funds Act and the Constitution for validity and legality. It is on this basis that the case of Orion Money Purchase Pension Fund (SA) v Pension Funds Adjudicator is challenged. The case is authority for the principle that the only available remedy to an employee who has been cheated out of retirement fund benefits owing to the employer's failure to make fund contributions is one that compels the fund to calculate those outstanding contributions and demand that total sum from the employer. For various reasons this does not address the problem of defaulting employers, which can be addressed only by properly enforcing the Pension Funds Act and also consistently subjecting the rules to the Act in cases of disputes.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131555922","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":"Understanding Pension Liabilities: A Closer Examination of Discount Rates","authors":"Divya Anantharaman, D. Henderson","doi":"10.2139/ssrn.2864447","DOIUrl":"https://doi.org/10.2139/ssrn.2864447","url":null,"abstract":"The discount rate represents a critical choice in accounting for corporate defined-benefit pension plans due to the long-term nature of pension liabilities. U.S. GAAP and IFRS mandate the AA corporate bond rate. Their requirement is subject to much debate, with the risk-free rate and the expected return on pension assets (EROA) often proposed as alternatives. We examine which of these rates best fits pension values as perceived by equity- and debt-market participants. For equity values, the EROA rate dominates, while for credit ratings, the AA rate dominates. For financially healthy firms, however, discounting at the EROA produces the best fit for both equity values and credit ratings. In contrast, for firms nearing financial distress, discounting at the AA rate provides the best fit. We also find that the accumulated benefit obligation measure consistently dominates the projected benefit obligation in explanatory power for credit ratings. Overall, we find that market participants adjust GAAP-recognized pension obligations in both amount and discount rate, in a manner that appears consistent with firm-specific economic realities.","PeriodicalId":407792,"journal":{"name":"Pension Risk Management eJournal","volume":"194 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-11-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132361871","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}