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Publié par | world-bank-publications |
Publié le | 14 janvier 2010 |
Nombre de lectures | 21 |
EAN13 | 9780821381601 |
Langue | English |
Poids de l'ouvrage | 3 Mo |
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DIRECTIONS IN DEVELOPMENT
Finance
Evaluating the Financial
Performance of Pension Funds
Richard Hinz, Heinz P. Rudolph,
Pablo Antolín, and Juan Yermo
EditorsEvaluating the Financial Performance of
Pension FundsEvaluating the Financial
Performance of Pension Funds
Richard Hinz, Heinz P. Rudolph,
Pablo Antolín, and Juan Yermo
Editors© 2010 The International Bank for Reconstruction and Development / The World Bank
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ISBN: 978-0-8213-8159-5
eISBN: 978-0-8213-8160-1
DOI: 10.1596/978-0-8213-8159-5
Library of Congress Cataloging-in-Publication Data
Evaluating the financial performance of pension funds / Richard Hinz ... [et al.], editors.
p. cm. — (Directions in development)
Includes bibliographical references and index.
ISBN 978-0-8213-8159-5 (alk. paper) — ISBN 978-0-8213-8160-1
1. Pension trusts—Evaluation. 2. Rate of return—Evaluation. I. Hinz, Richard P. II. World Bank.
HD7105.4.E93 2010
331.25'24—dc22
2009043702
Cover photograph: Aziz Gökdemir
Cover design: Naylor DesignContents
Preface and Acknowledgments xi
Abbreviations xv
Chapter 1 Evaluating the Financial Performance of
Pension Funds 1
Heinz P. Rudolph, Richard Hinz, Pablo Antolín,
and Juan Yermo
Background and Motivation for the
Research Program 1
The Importance of Appropriate Measures
of Performance 3
Overview and Summary of the Book 7
Policy Implications of the
Research Findings 18
Notes 22
References 23
vvi Contents
Chapter 2 Investment Performance of Privately Managed
Pension Funds: Overview of the Available Data 25
Pablo Antolín and Waldo Tapia
Description of Privately Managed Pension
Funds around the World 26
Additional Problems with the Data Reported on
Investment Returns 35
Preliminary Observations from the Initial
Data Review 35
Notes 36
References 37
Chapter 3 Financial Performance of Pension Funds:
An Exploratory Study 39
Eduardo Walker and Augusto Iglesias
Introduction and Overview of Findings 39
Portfolio Performance Measurement 40
Required Data 53
The Pension Fund Database 56
Legal and Administrative Considerations 58
Results 60
Conclusions 67
Annex: Country Performance Fact Sheets 69
Notes 94
References 94
Chapter 4 Portfolio Choice, Minimum Return Guarantees,
and Competition in Defined Contribution
Pension Systems 97
Pablo Castañeda and Heinz P. Rudolph
A Model Economy 99
Equilibrium Portfolios under Benchmarking
Constraints 103
Discussion 107
Annex 108
Notes 115
References 116Contents vii
Chapter 5 Labor Market Uncertainty and Pension
System Performance 119
Olivia S. Mitchell and John A. Turner
Pension Structures and Human Capital
Uncertainty 120
Interactions between Human Capital
Uncertainty and Pension Performance 123
Integrating Human Capital Uncertainty into
Models of Pension Outcomes 131
Benchmarks for Pension Performance 139
Conclusions and Policy Implications 145
Notes 146
References 151
Chapter 6 Pension Funds, Life-Cycle Asset Allocation,
and Performance Evaluation 159
Fabio C. Bagliano, Carolina Fugazza, and
Giovanna Nicodano
Methodological Issues in Developing Optimal
Portfolios That Include Pension-Specific
Parameters 163
Asset Allocation with Human Wealth 168
A Basic Life-Cycle Model 172
Welfare Ratios for Performance Evaluation 191
Conclusions 194
Notes 197
References 198
Chapter 7 Application of Advances in Financial Theory
and Evidence to Pension Fund Design in
Developing Economies 203
Luis M. Viceira
Global Trends of DC Pension Systems 204
Policy Challenges of DC P 205
Innovations in Pension Fund Design 207
Life-Cycle Investing 209
Pension Fund Design in Developing Economies 215viii Contents
Performance Evaluation of Investment Options 222
Concluding Remarks 238
References 239
Chapter 8 Future Directions in Measuring the Financial
Performance of Pension Funds: A Roundtable
Discussion 243
Commentary by Keith Ambachtsheer 244
Commentary by Olivia Mitchell 251
Commentary by Luis Viceira 258
Commentary by Zvi Bodie 264
Index 269
Figures
2.1 Total Assets and Asset Allocation, 2004 31
3.1 The Sharpe Ratio 41
3.2 Sharpe Ratios of U.S. Stocks and Bonds, Five-Year
Rolling Estimates 50
3.3 Short-Term Local Currency Sharpe Ratios 65
3.4 Long-T 66
3.5 In-Sample Selection Returns 67
3.6 Out-of-Sample Selection Returns 68
5.1 Patterns of Earnings over the Lifetime, with Wage Level
Indicator: Excluding and Including Zero Earners 125
5.2 Pension Contribution Patterns in Chile by Age:
Percentage of Available Years in Which Contributions
Were Made 128
6.1 Labor Income Process 178
6.2 Life-Cycle Profiles of Consumption, Income,
and Wealth 179
6.3 Policy Functions: Sensitivity to Stocks 180
6.4 P Sensitivity to Bonds 180
6.5 Age Profiles of Optimal Stock and Bond
Holdings (Averages) 182
6.6 Age Profiles of Optimal Stock and Bond Holdings,
Benchmark Case 185
6.7,
High Risk Aversion 186