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2016 Endowment vs Public Pension Returns

Karris, Michael - 2017

Does the Endowment Model still work? Judging by large endowments' steady outperformance of a 70% global stock/30% US bond index, THE ANSWER IS YES. Versus a 60% US stock/40% US bond index, the answer is not as clear cut.Even so, the Endowment Model still adds value for a long-term portfolio that...

Persistent link: https://www.econbiz.de/10012946345

The return expectations of institutional investors

Andonov, Aleksandar; Rauh, Joshua - 2019

Analysis of required expected return disclosures by public pension funds in individual asset classes reveals a reliance on past performance in setting return expectations. These extrapolative expectations operate through the expected risk premium and occur across all risky asset classes. Pension...

Persistent link: https://www.econbiz.de/10011976289

Simulations of Long-Term Returns and Replacement Rates in the Colombian Pension System

Tuesta, David - 2012

This study is a theoretical exercise for Colombia that aims to simulate a variety of scenarios under a hypothetical scheme similar to the multi-funds currently in operation in Chile, Mexico and Peru. This has been done by modeling the future movement of asset prices that are considered to be...

Persistent link: https://www.econbiz.de/10013109230

Is Governance Related to Investment Performance and Asset Allocation? Empirical Evidence from Swiss Pension Funds

Ammann, Manuel - 2017

This study investigates the relationship between governance, investment performance and asset allocation of pension funds in Switzerland. Our sample includes survey data from 139 Swiss occupational pension plans for which we develop a governance metric comprising attributes of organisational...

Persistent link: https://www.econbiz.de/10012962604

Governance and Performance of Private Pension Funds : Australian Evidence

Liu, Kevin - 2014

The growing importance of private pension funds in the global financial, economic and public policy landscape has led to increasing regulatory and public interest in their governance and performance. Looking at the Australian private pension (superannuation) funds, this paper examines the impact...

Persistent link: https://www.econbiz.de/10013048816

A multivariate analysis of SIEFORE daily returns

Calderón-Colín, Roberto; Carmona Sánchez, Juan F. - 2021

This document presents a multivariate analysis of the relations among daily returns of pension funds in Mexico from 1997 to 2019. Evidence of a positive relation among daily returns through five statistical methods is provided. We find Granger causality of the returns of some funds to others,...

Persistent link: https://www.econbiz.de/10012510672

Swiss pension funds : funding ratio, discount rate, and asset allocation

Schäublin, Jorma J. - In: Swiss journal of economics and statistics 158 (2022) 1, pp. 1-23

The funding ratio is a financial indicator to measure the viability of pension funds. The paper analyzes how Swiss … occupational pension funds' technical discount rate and asset allocation are related to the funding ratio. The paper shows that … funds with weaker funding ratios apply higher rates to discount future pension liabilities what points toward euphemistic …

Persistent link: https://www.econbiz.de/10013269807

Pension Funds and Emerging Markets

Chan-Lau, Jorge - 2021

This paper focuses on the investment behavior of pension funds in developed and emerging market countries. First, it analyzes the main determinants of the emerging market asset allocation of pension funds in developed countries. Second, it assesses how pension funds in emerging markets have...

Persistent link: https://www.econbiz.de/10013212329

The impact of fees on the return of the second pension pillar in Romania

Dumitrescu, Bogdan; Hândoreanu, Cătălina Adriana - In: Financial studies 25 (2021) 1, pp. 65-77

Setting an adequate level for the fees charged by pension fund administrators is a key design element for policymakers when establishing a second pension pillar. A proper balance between the interest of future pensioners and the ones of administrators is required, but an optimal level of fees is...

Persistent link: https://www.econbiz.de/10012664493

Forecasting the volatility of the dow jones islamic stock market index : long memory vs. regime switching

Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

Persistent link: https://www.econbiz.de/10010348307

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