Evaluating the Financial Performance of Pension Funds

Abstract

Contents ix 7.2 Capital Markets Assumptions 7.3 Summary Table of Simulation Results 7.4 Simulation Results for Investment Strategies When Labor Income Is Nonstochastic 7.5 Simulation Results for Investment Strategies When Labor Income Is Stochastic and Uncorrelated with Stock Returns 7.6 Simulation Results for Investment Strategies When Labor Income Is Stochastic and Correlated with Stock Returns x Contents xi This volume is the product of a partnership organized by the World Bank that includes the Organisation for Economic Cooperation and Development (OECD), two private sector entities with worldwide pension-related business and a significant interest in public policy-the ING Group headquartered in the Netherlands and BBVA with headquarters in Spain-and VB, the Dutch Association of Industry-wide Pension Funds. Although not formally members of the partnership, the American Council of Life Insurers (ACLI), which provided funding, and the U.K. Department for Work and Pensions, through a staff secondment to the OECD, also supported the work. The partnership represents a promising approach to organizing and financing policy research on issues of importance to international policy and research institutions and the business community. The project originated with a proposal from ING to engage in a research partnership with the World Bank, first made in 2002. It exemplifies the Dutch ideal of collective effort and public-private cooperation. Over the course of the ensuing two years, the partnership that was formed was extended to include the other institutions, and a program of research emerged from the discussions among its members.

Value Creation on Member Contributions in Zambian Pension Funds: Evidence for Imperative Investment in Financial Education

“…Bagliano et al (2010) argue that pension performance should be evaluated against welfare indicator benchmarks and not just simple rates of return because pensioners are influenced by other factors other than risk and return. Heinz et al (2010) state that an explicitly stated model benchmark established by regulators would enhance the performance of pension funds. The absence of such benchmarks leaves it open for fund managers to settle for simplicity and any benchmark that make them look better.…”

“…Many pension systems have realized the need for pension benefits to be supported by an asset pool created over the pensioners' working lives. Heinz et al (2010) provide that there has been a general migration from DBs to DCs over time to lessen fiscal pressure on governments in the administration of pension funds. However, this general trend is at the expense of the quality and quantity of pension benefits available to the pensioner and creates pressure on fund managers to create more wealth for the pensioners to receive meaningful benefits.…”

Dinámica y desempeño de los fondos de pensión en México (1997-2018): un análisis de volatilidad condicional con cambios estructurales

“…Referente a los rendimientos, como medida de desempeño de los fondos de pensión, existen investigaciones que señalan que esta medida debe tomarse con reserva y lo conveniente es incluir otros tipos de parámetros como métricas de desempeño. En un estudio del Banco Internacional de Reconstrucción y Fomento Mundial coordinado por Hinz et al (2010), se advierte sobre las limitaciones de la tasa de rendimiento como indicador de desempeño de las pensiones y se destaca la necesidad de contar con otros parámetros que midan y que comparen el desempeño de los fondos de pensión con benchmarks a largo plazo. En este sentido De la Torre y Martínez (2017) ofrecen como parámetro alternativo de desempeño un portafolio de mínima varianza para los fondos de pensión mexicanos.…”

A New Approach for Proper Reporting of Pension Benefit Obligations in the Financial Statements of “Old Funds” for Professionals

“…Technical budgets allow for the assessment of both the sustainability of the system, from a medium/long-term perspective, and the intergenerational equity and solidarity (Guardiancich & Natali, 2018), which is given by the stable and fair ratio between contributions and benefits paid. With regard to sustainability, it is useful to highlight that the financial crisis has further emphasized the need for performance measures which are able to determine the ability to effectively provide income replacement at retirement age (Hinz, Heinz, Antolin, & Yermo, 2010). Indeed, the European Union also focuses on the sustainability of pensions in several documents (European Commission, 2010, 2018a, 2018b; European Economic and Social Committee, 2010), particularly in the 2010 Green Paper where it states "An adequate and sustainable retirement income for EU citizens now and in the future is a priority for the European Union.…”