Evaluating The Financial Performance Of Pension Funds

Author : Richard Hinz,Rudolph Heinz P.,Pablo Antol n,Juan Yermo
Publisher : World Bank Publications
Page : 296 pages
File Size : 40,9 Mb
Release : 2010-01-14
Category : Business & Economics
ISBN : 0821381601

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Evaluating the Financial Performance of Pension Funds by Richard Hinz,Rudolph Heinz P.,Pablo Antol n,Juan Yermo Pdf

Countries around the world are increasingly relying on individual pension savings accounts to provide income in old age for their citizens. Although these funds have now been in place for several decades, their performance is usually measured using methods that are not meaningful in relation to this long-term objective. The recent global financial crisis has highlighted the need to develop better performance evaluation methods that are consistent with the retirement income objective of pension funds. Compiling research derived from a partnership among the World Bank, the Organisation for Economic Co-operation and Development (OECD), and three private partners, 'Evaluating the Financial Performance of Pension Funds' discusses the theoretical basis and key implementation issues related to the design of performance benchmarks based on life-cycle savings and investment principles. The book begins with an evaluation of the financial performance of funded pension systems using the standard mean variance framework. It then provides a discussion of the limitations inherent to applying these methods to pension funds and outlines the many other issues that should be addressed in developing more useful and meaningful performance measures through the formulation of pension-specific benchmark portfolios. Practical implementation issues are addressed through empirical examples of how such benchmarks could be developed. The book concludes with commentary and observations from several noted pension experts about the need for a new approach to performance measurement and the impact of the recent global financial crisis on pension funds.

Author : George O. Aragon,Wayne E. Ferson
Publisher : Now Publishers Inc
Page : 123 pages
File Size : 46,8 Mb
Release : 2008
Category : Financial risk management
ISBN : 9781601980823

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Portfolio Performance Evaluation by George O. Aragon,Wayne E. Ferson Pdf

This paper provides a review of the methods for measuring portfolio performance and the evidence on the performance of professionally managed investment portfolios. Traditional performance measures, strongly influenced by the Capital Asset Pricing Model of Sharpe (1964), were developed prior to 1990. We discuss some of the properties and important problems associated with these measures. We then review the more recent Conditional Performance Evaluation techniques, designed to allow for expected returns and risks that may vary over time, and thus addressing one major shortcoming of the traditional measures. We also discuss weight-based performance measures and the stochastic discount factor approach. We review the evidence that these newer measures have produced on selectivity and market timing ability for professional managed investment funds. The evidence includes equity style mutual funds, pension funds, asset allocation style funds, fixed income funds and hedge funds.

Author : Maryam Badrizadeh
Publisher : Unknown
Page : 128 pages
File Size : 46,9 Mb
Release : 2017
Category : Electronic
ISBN : OCLC:1333980343

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Evaluating Pension Funds Considering Unobservable Variables Bridging Pension Funds Mutual Funds Through the Development of a New DEA Model by Maryam Badrizadeh Pdf

Private pension plans provide an important source of retirement income for employees and their families. The effective performance of private pension plans is an important issue to investigate because of the social and economic implications for investors, managers and governments. Typically, financial ratios which have inherent limitations, are used to evaluate pension funds' performance. The objective of this research is to develop Data Envelopment Analysis (DEA) models which evaluate the private pension funds' performance and suggest useful measures based on detailed data acquired from the federal regulator OSFI (Office of the Superintendent of Financial Institutions Canada). The research has three sections. The first section evaluates private pension funds' performance by considering the effect of regulations which are not under the control of fund managers as well as comparing pension funds with mutual funds which have different characteristics. A new DEA model is developed that can evaluate different entities with different cultures from the same industry such as pension funds and mutual funds. The results show that the new DEA model provided a more realistic assessment of pension funds' performance and comparison between pension funds and mutual funds. In section two, the reason for low minimum efficiency scores in DEA for pension funds is examined. It is found that the presence of very low efficiency scores is not uncommon in this industry. In section three, a new methodology is introduced which evaluates the pension funds' performance by considering the importance of different variables based on an expert's judgements as well as borrowing useful information from the mutual funds' dataset. The results show that the discriminatory power of DEA increases after adding an expert's opinions as well as mutual funds' information to the pension funds' DEA model and three different target levels are defined for inefficient plans. Since private pension funds have unique characteristics compared to other investment funds as well as the significant importance of retirement income to people, the results of this research will be of interest to government, financial and industrial managers.

Author : G. Timothy Haight,Stephen Otis Morrell
Publisher : Irwin Professional Publishing
Page : 0 pages
File Size : 53,6 Mb
Release : 1997
Category : Charitable uses, trusts, and foundations
ISBN : 0786308001

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The Analysis of Portfolio Management Performance by G. Timothy Haight,Stephen Otis Morrell Pdf

The Analysis of Portfolio Management Performance is the first and only book to provide an all-encompassing treatment of the knowledge and policies necessary to evaluate the performance of professional money managers, investors and others charged with overseeing your organization's investments. Experienced financial professionals Tim Haight and Steve Morrell examine the many duties that fall to financial committee members and discuss strategies for selecting the right money manager, establishing a meaningful and useful investment policy statement, setting and monitoring investment approaches of outside money managers, and fairly evaluating investment of performance based on organizational guidelines.

Author : Peter O. Dietz
Publisher : Free Press
Page : 202 pages
File Size : 48,8 Mb
Release : 1966
Category : Law
ISBN : STANFORD:36105033775292

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Pension Funds by Peter O. Dietz Pdf

Author : Arun S. Muralidhar
Publisher : Stanford University Press
Page : 372 pages
File Size : 50,7 Mb
Release : 2001
Category : Business & Economics
ISBN : 0804745218

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Innovations in Pension Fund Management by Arun S. Muralidhar Pdf

This book gives state-of-the-art guidance on how to implement investment strategy with cutting-edge practices of plan sponsors and investment managers. All aspects of fund management will be seen in a fresh light, as professionals read about current practical and theoretical twists and turns in asset allocation, risk management, and performance evaluation and implementation.

Author : G. Timothy Haight,Glenn Ross,Stephen O. Morrell
Publisher : John Wiley & Sons
Page : 272 pages
File Size : 41,5 Mb
Release : 2008-01-02
Category : Business & Economics
ISBN : 0470225793

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How to Select Investment Managers and Evaluate Performance by G. Timothy Haight,Glenn Ross,Stephen O. Morrell Pdf

An informative guide to selecting and evaluating external investment professionals This book-one of the very few of its kind-is an invaluable aid to trustees of pension plans, endowments, and trusts who seek to chart and navigate courses for governing and overseeing the investment of the trillions of dollars under their care. It covers many aspects of this essential endeavor, including return measures, fixed income and duration, manager searches, committee meetings, and much more. G. Timothy Haight (Atherton, CA) is President of Menlo College in Silicon Valley. Stephen O. Morrell, PhD (Coral Springs, FL) is Professor at Andreas School of Business of Barry University. Glenn Ross (Baltimore, MD) is a Managing Director and cofounder of Archstone Portfolio Solutions.

Author : Samuel Pienknagura,Christopher Evans
Publisher : International Monetary Fund
Page : 52 pages
File Size : 46,5 Mb
Release : 2021-09-10
Category : Business & Economics
ISBN : 9781513596112

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Assessing Chile's Pension System: Challenges and Reform Options by Samuel Pienknagura,Christopher Evans Pdf

Chile’s pension system came under close scrutiny in recent years. This paper takes stock of the adequacy of the system and highlights its challenges. Chile’s defined contribution system was quite influential when introduced, and was taken as an example by other countries. However, it is now delivering low replacement rates relative to OECD peers, as its parameters did not adapt over time to changing demographics and global returns, while informality persists in the labor market. In the absence of reforms, the system’s inability to deliver adequate outcomes for a large share of participants will continue to magnify, as demographic trends and low global interest rates will continue to reduce replacement rates. In addition, recent legislation allowing for pension savings withdrawals to counter the effects from the COVID-19 pandemic, is projected to further reduce replacement rates and increase fiscal costs. A substantial improvement in replacement rates is feasible, via a reform that raises contribution rates and the retirement age, coupled with policies that increases workers’ contribution density.

Author : Sudhir Rajkumar,Mark C. Dorfman
Publisher : World Bank Publications
Page : 364 pages
File Size : 47,9 Mb
Release : 2011
Category : Social Science
ISBN : 9780821384701

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Governance and Investment of Public Pension Assets by Sudhir Rajkumar,Mark C. Dorfman Pdf

And key messages -- Key principles of governance and investment management -- Governance of public pension assets -- Governance structures and accountabilities -- Qualification, selection, and operation of governing bodies -- Operational policies and procedures -- Managing fiscal pressures in defined-benefit schemes -- Policy responses to turbulent financial markets -- Investment of public pension assets -- Defining the investment policy framework for public pension funds -- Managing risk for different cohorts in defined-contribution schemes -- An asset-liability approach to strategic asset allocation for pension funds -- In-house investment versus outsourcing to external investment managers -- International investments and managing the resulting currency risk -- Alternative asset classes and new investment themes.

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 44 pages
File Size : 50,6 Mb
Release : 2004-10-14
Category : Business & Economics
ISBN : 9781451939293

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Risk Management and the Pension Fund industry by International Monetary Fund. Monetary and Capital Markets Department Pdf

This paper looks at the longer-term challenges pension funds face as population age and key issues to address to enhance their risk management practices and their role as long-term investors. The paper focuses primarily on Japan, the Netherlands, Switzerland, the United Kingdom, and the United States, where funded pension plans are most developed. The size of pension savings in these countries, their projected growth, and the recent development of funded pension schemes in other countries highlight the fast-growing importance of pension funds for international capital markets and to financial stability.

Author : Gregorio Impavido,Ian Tower
Publisher : International Monetary Fund
Page : 58 pages
File Size : 52,9 Mb
Release : 2009-07
Category : Business & Economics
ISBN : IND:30000111481895

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How the Financial Crisis Affects Pensions and Insurance and Why the Impacts Matter by Gregorio Impavido,Ian Tower Pdf

We use a calibrated multi-sector DSGE model to analyze the likely impact of oil windfalls on the Ghanaian economy, under alternative fiscal and monetary policy responses. We distinguish between the short-run impact, associated with demand-related pressures, and the medium run impact on competitiveness and growth. The impact on inflation and the real exchange rate could be moderate, especially if the fiscal authorities smooth oil-related spending or increase public spending's import content. However, a policy mix that results in both a fiscal expansion and the simultaneous accumulation of the foreign currency proceeds from oil as international reserves to offset the real appreciation would raise demand pressures and crowd-out the private sector. In the medium term, the negative impact on competitiveness resulting from "Dutch Disease" effects could be small, provided public spending increases the stock of productive public capital. These findings highlight the role of different policy responses, and their interaction, for the macroeconomic impact of oil proceeds.

Author : Richard O. Michaud,Robert O. Michaud
Publisher : Oxford University Press
Page : 144 pages
File Size : 48,7 Mb
Release : 2008-03-03
Category : Business & Economics
ISBN : 9780199715794

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Efficient Asset Management by Richard O. Michaud,Robert O. Michaud Pdf

In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.

Author : Greg N. Gregoriou,Joe Zhu
Publisher : John Wiley & Sons
Page : 178 pages
File Size : 51,5 Mb
Release : 2005-05-06
Category : Business & Economics
ISBN : 9780471730040

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Evaluating Hedge Fund and CTA Performance by Greg N. Gregoriou,Joe Zhu Pdf

Introducing Data Envelopment Analysis (DEA) -- a quantitative approach to assess the performance of hedge funds, funds of hedge funds, and commmodity trading advisors. Steep yourself in this approach with this important new book by Greg Gregoriou and Joe Zhu. "This book steps beyond the traditional trade-off between single variables for risk and return in the determination of investment portfolios. For the first time, a comprehensive procedure is presented to compose portfolios using multiple measures of risk and return simultaneously. This approach represents a watershed in portfolio construction techniques and is especially useful for hedge fund and CTA offerings." -- Richard E. Oberuc, CEO, Burlington Hall Asset Management, Inc. Chairman, Foundation for Managed Derivatives Research Order your copy today!

Author : Anita M. Schwarz,Omar S. Arias,Asta Zviniene,Heinz P. Rudolph,Sebastian Eckardt,Johannes Koettl,Herwig Immervoll,Miglena Abels
Publisher : World Bank Publications
Page : 304 pages
File Size : 45,7 Mb
Release : 2014-02-21
Category : Business & Economics
ISBN : 9780821399095

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The Inverting Pyramid by Anita M. Schwarz,Omar S. Arias,Asta Zviniene,Heinz P. Rudolph,Sebastian Eckardt,Johannes Koettl,Herwig Immervoll,Miglena Abels Pdf

Europe’s pension systems –among the most celebrated features of its social welfare model— face tremendous challenges. With only 11 percent of the world’s population, Europe spends about 60 percent of global outlays on social protection, largely in pensions. In many countries, pension rules have encouraged people to retire sooner, while enjoying longer lives. Payroll taxes on a continuously expanding contributory base have financed these benefits. This model of pension provision is now being severely tested as pension systems reach maturity, while the population is aging and the labor force is starting to shrink. Measures to enable a continued tradition of providing old age security will include • raising retirement ages such that pensions are provided in the last 15 years of life, when work capacity traditionally diminishes • encouraging immigration to help fill the declining work force • rationalizing pension spending, putting priority on preventing old age poverty, and • encouraging savings to help provide the more comfortable retirement that individuals have come to expect. Some measures may be more appropriate in particular countries than others, yet undertaking all of them will likely require less drastic changes in any one of them. The specific choices will need to be discussed and agreed among each country’s own population, and be accompanied by enabling changes in pension policy, tax policy, financial markets policy, and labor policy. The fundamental issue is that, with these changes, the important achievements of European social policy can withstand the demographic onslaught and continue to provide old age security for generations to come.

Author : Scott Sweatman
Publisher : Unknown
Page : 128 pages
File Size : 43,5 Mb
Release : 2017-10
Category : Electronic
ISBN : 1525400460

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20 Questions Directors Should Ask about Pension Governance by Scott Sweatman Pdf